You can download and install the current Windows version of R by clicking on the link below. You can either run the program, or save the program to your computer and then run it to install R. When installing, you can probably just accept the default settings.
You can see the following link with more details about the latest version of R. The link called r-patched release allows you to install a version that contains minor patches since the current official release (but note that the patched version is not the official version). The link called r-devel release is a version that is under development and likely contains bugs.
You can see further details about installing R and statistical computing in R by John Fox in the link below.