You can make an install package (SetupR.exe) in the usual Windows style
(by default in Windows 2000 style) by using the installer kit 
Inno Setup 2.0.17 or later from www.jrsoftware.org. 

You need the R installation built completely (see ../INSTALL: this
includes making bitmap and Tcl/Tk support and the manuals).
It's worthwhile testing it too!

Go to the parent of this directory and make the distribution zip
files by

make distribution

Then edit ISDIR and PKGS in ../MkRules and then run

make
make clean

You will have SetupR.exe and a set of files miniR* for the floppy-sized
distribution.