The link, R installer for Windows, will direct you to a page containing the installation file the R program. Click on the link Download R 2.9.2 for Windows. (If you are installing R on a Mac or a Linux machine, see the options for other platforms on this page.) Choose the Save File option for the file R-2.9.2-win32.exe. Once this file has been saved on your computer, you can install it by double-clicking on the file icon. Follow the directions during the installation and accept all of the default options.
As with most Windows programs, you can start R by clicking on its icon.
Once you have installed R, you will want to install the package R Commander, a graphical user interface for R. This installation is done through the R program. Start R by clicking on its icon. At the red prompt (">"), type install.packages("Rcmdr", dependencies=TRUE). You will be prompted to choose a CRAN mirror site from which to download the file, for example, USA (MI). Select a site and then click the OK button. R Commander and all of its dependent files will now begin installing. Be patient; this may take a few minutes.
To start R Commander, first start R, then, from the menus, select Packages->Load Packages...->Rcmdr
You can read more about R here.
Here is a link to a an R manual
Here is a link to a an R Commander manual