Adaikalavan Ramasamy wrote:
...
Anyway, here is how to do what you want:

1) Install bash on your Windows machine - You can use cgywin. Or download and unzip http://www.steve.org.uk/Software/bash/

2) Make the directory to bash.exe and R.exe are in your PATH variable.

3) Start -> Run -> cmd

4) Start R.exe

and now you should have your CTRL-R functionality (along with ls and other bash goodies). Yes, I know you asked about Rgui.exe and not R.exe. But this is the best I can do.
Er, I don't think you need bash nor cygwin for this, do you? It is not normal that the shell has any influence on programs that run under it. Plain Rterm in a console should do it, if and only if linked agaist libreadline, which I believe it is.

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