Rcpp works well with Unix/Linux.  Setting it up on Windows takes some work. Use the standard settings on all of these installs. (updated 2/2014)

0. Make a file named R to be located at C:\R
1. Install R under C:\R  (not C:\Program Files because R hates spaces, uninstall R and do it right)
2. Install Rtools in C:\R
3. Install newest batchfiles in C:\R   from  http://cran.r-project.org/contrib/extra/batchfiles/
4. Install Redmond Path Utility unzip to C:\R  from  http://download.cnet.com/Redmond-Path/3000-2094_4-10811594.html
    - they will try to install a ton of junk ads: hit "DECLINE"
4b. Add Redmond paths by clicking the green plus sign in the top left corner:
    C:\R\Rtools\bin
    C:\R\batchfiles_0.7-1
5. To get ride of the warnings, go to  Start > Control Panel > System > Environment Variables
       Under system variables, click on New, set variable name to CYGWIN and set value as nodosfilewarning and you're done.
6. Restart computer or Redmond path may not work
7. Open R and install.packages("inline") and install.packages("Rcpp")