Create a dll dynamic library from C in R (Windows)

I am sorry if my question is not very clear. But I figured it out how to get things work and possible mistakes. Hopefully it will be useful for someone. Here are the steps:

1. Install R (latest version is 3.0.0 now). Make sure to add R bin folder to PATH
2. Install the latest version of Rtools Here. Make sure to add "c:\Rtools\bin;c:\Rtools\gcc-4.6.3\bin;" to PATH
3. Write your C code, saved in foo.c

4. In Windows command window, type

   R CMD SHLIB foo.c

then you should have a foo.dll file then you can call it in R. Note that the foo.dll created under 64bits R can only be loaded into 64bits R. If you try to load in 32bits R, you will get error messages.

Exactly what do you mean by "nothing happened"? Is R in your path?

What does R --version reveal? How about R CMD config CC and R CMD config CFLAGS?

Lastly, if you had Rcpp installed (and your toolchain was correct, including PATH settings and all the rest) the you could do things on the fly a la

R> library(Rcpp)
R> cppFunction('double foo(double x) { return std::sqrt(x); }')
R> foo(4)
[1] 2
R> foo(4.2)
[1] 2.04939
R> unclass(foo)
function (x) 
.Primitive(".Call")(<pointer: 0x7f251ba76530>, x)
R> 

Here we used cppFunction() (and a bunch of tricks inside Rcpp) to compile, link and load a simple (and pretty useless...) C(++) function which takes a square root.