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

	https://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 times fonts package. If you do not
have that available, you can get it from CTAN, or set the environment
variable R_RD4PDF to "".  Other alternatives are discussed
in the R-admin manual.

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.

Other LaTeX engines can be used by setting the environment variable
PDFLATEX (to "lualatex", for example) and R_RD4PDF to "". Rd.sty uses
iftex.sty to detect alternative engines and skip loading fontenc.