Works for me. I think you overlook something I noticed with R when writing graphics to files: the information is not written until you either call plot to write to another file (with Cairo drivers writting to a succession of files) or you close the device with dev.off().
bmp('f:/tmp/bmptest.bmp')
plot(rnorm(200)) # only creates an empty file on disk
dev.off() # This is the call that causes the information to be written to the file.