Looks like the R_HOME environment variable needs to be set on the Windows platform as well as on UNIX and Mac platforms without which REngine fails to initialize. The following line of code solves the problem for me.
Environment.SetEnvironmentVariable("R_HOME", @"C:\Program Files\R\R-3.0.3\");
Environment.SetEnvironmentVariable("R_HOME", @"C:\Program Files\R\R-3.0.3\");