After poking around a little bit, I was able to install the package using the
"Install packages from local zip(s) files" command from the Packages menu. 
I had to go grab the zip file from
"http://cran.stat.sfu.ca/bin/windows/contrib/2.15/"; because it looked like R
was going to a nonexistent URL when I just used the install.packages command
in the console.

I had to do the same thing for the tseries package, so could that suggest
that it's a problem with R?  Is it pointing to the wrong places?

In any case, problem solved :)

Thanks,
Jess 

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