Anne, you can accomplish your goal by using my Rdsm package, which adds
a threads-like capability to R.  You can download it from CRAN.  

Look in particular in the examples/ directory.  The file WebProbe.R is
pretty much exactly the same usage that you want.  Look at Auction.R
too. 

You may also find my UseR! presentation on Rdsm to be helpful,
user2010.org/slides/Matloff.pdf

You could do the same thing, though less directly and I believe less
conveniently, using some of the packages Louis mentioned, as well as
bigmemory.

Norm Matloff

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