The most recent version of R for Windows is version 0.651. See the R on Windows FAQ for help on the installation and see some additional tips on using R in Windows
R is based on the ( award winning) S language developed at Bell Labs by John Chambers. The S language is described in the The New S Language by Becker, Chambers & Wilks and Statistical Models in S by Chambers and Hastie, both published by CRC press. Almost all the commands described in these two books are implemented in R. The recommended text for the course is Modern Applied Statistics with S-PLUS by W. Venables and B. Ripley (3nd Edition). The authors have written some online complements which (among others) describe the differences between R and S-PLUS.
S+ is a commercial software package based on S distributed by Mathsoft. S+ is available on Statistics Department computers, the ITD Statistical Computing servers and other locations on Campus. Almost all the commands in the course text will work in S+ also. Sometimes minor changes will be necessary and the output may differ slightly. S+ for Windows comes with a GUI interface which is easier to get started with but you won't be able exercise the full power of the language without knowing the command line versions.
Most of the materials written for S+ apply equally well to R:
In addition, I have compiled own package which includes all the additional functions that I wrote for use in the course along with the datasets. Available as a zip file for Windows and tarball for Unix). I have not documented the functions or data yet.