The version of Rd.sty in R_HOME/share/texmf uses url.sty.  This is
normally installed, and can be obtained from any CTAN node or mirror:
see

	http://www.tug.org/ctan.html

It also uses the standard package bm, which is part of the standard
tools bundle and should be part of any reasonably recent LaTeX
installation.

The reference manual is made using the ae fonts package. If you do not
have that available, you can get it from CTAN, or set the environment
variable R_RD4DVI to "", but the latin1 characters in text.Rd (and a
few other places) will be missing.  Other alternatives are discussed
in the R-admin manual.

To make PDF versions of the manuals you will need pdf(la)tex and the
hyperref package.  If you want to avoid making the hyperlinks, you can
set the environment variable R_RD4PDF to "times" (or even to "").

You may have to increase the poolsize of your pdflatex to process the
reference manual with hyperlinks, although these days the limits are
set high.

pdftex will warn (correctly) about missing hyperlinks in forming
refman.pdf.