It doesn't seem to require any special steps - you install the package just like you would any standard R package.
The following worked for me from the R-console window in MRO:
install.packages("Rmpfr")
# also installs package gmp
# Some examples:
## Using "mpfr" numbers instead of regular numbers...
n1.25 <- mpfr(5, precBits = 256)/4
n1.25
## and then "everything" just works with the desired chosen precision:hig
n1.25 ^ c(1:7, 20, 30) ## fully precise; compare with
print(1.25 ^ 30, digits=19)
exp(n1.25)
Stephen Weller
Microsoft R Open Product Team