Common
To install R for Windows XP or Vista, start by going to the R Project homepage. Down the left side of the page there's a column of links. Click on the CRAN link. Select a miror site from the list. On the next page in the "Download and Install R" box, click on the "Windows (95 and later)" link, then the "base" link, then finally on the "R-2.5.0-win32.exe" link to download the Windows installer. Installation is pretty straightforward, but here are some more detailed instructions. If you're using XP, you may also read the following information on the installation of packages. Vista users, see the note below first.
Vista
There are some known problems with R under Vista. For more details, see the Windows FAQ at CRAN.
To sum it up briefly, when you want to install R packages on Vista, you need to right-click on R and select "Run as Administrator" or the package installation will fail. (There are other ways around it, but this is the easiest.) Under normal circumstances you should *never* run R (or any other program, except when absolutely necessary) as Adminstrator.
