You should go to the R project homepage to install a version of R on windows.
While you should then be able to run the few R.NET introductory tutorials, I suggest you to learn a bit about R itself, before accessing it via R.NET. R.NET is certainly no t a substitute for learning R.
While you should then be able to run the few R.NET introductory tutorials, I suggest you to learn a bit about R itself, before accessing it via R.NET. R.NET is certainly no t a substitute for learning R.