Also, the FAQ suggests using the alternative internet2.dll  by starting R
with the flag --internet2

If you start R from a desktop icon, you can add the --internet flag to the
target line (right click, properties) e.g. "C:\Program
Files\R\R-2.8.1\bin\Rgui.exe" --internet2

see
http://cran.r-project.org/bin/windows/rw-FAQ.html#The-Internet-download-functions-fail_002e

HTH 

Pete



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