R is the name of a very popular statistical computing and analysis package.  From the main R website, you can find this list of mirror sites, from which you can select one site from which to download.  The mirror site at Case Western Reserve University is the closest site in Ohio.  As it says on the top of that page, most users probably want the compiled binary files for their specific computer platform.  For Windows, I downloaded the base distribution.

For Windows, you can skip the previous paragraph and just click here to download the executable installation file.  (This link may go out of date and no longer work.)

For Windows, save the .exe file somewhere sensible, then double click it to have it run and install R.  The default options work well for beginners.

When you start R, you will see a window where you can type R commands.  There are the usual icons to open a file, and this is set up to look for files with the extension R.  They are called scripts in R.  The sample R programs on my page of Exercises to help you learn to program have the .R extension, so make a folder for R programs, save the programs there, and open them with R.  They will open in a text editor.  You can modify the programs there and save them.  To run them, copy and paste the text into the R window.  Or, select all with Control-A, then run what you've selected with Control-R.

Here is what looks like a nice introduction to R syntax with many examples.