The latest release of R can always be downloaded from the R web site; the US mirror site R CRAN may provide faster downloads. See the R FAQs for help on installation. There are also official R manuals and other contributed documentation. You can search for R help here. You might also find this 4 page summary of R commands to be helpful. Further suggestions on useful resources for R are always appreciated.
R is based on the S language. S+ is a commercial software package that is also based on the S language; it is distributed by Insightful. Cornell has a site license for S+. Save some minor syntax changes, most R commands also work in S+ (and vice versa); however, the output may differ slightly. One useful consequence: most materials written for S+ can also be used with R. An advantage of S+ for Windows is the GUI interface, which is somewhat easier to use than the GUI interface available for R if you are most comfortable with a point-and-click computing environment. However, the full power of all of these languages can only be fully realized by knowing how to use the command line.
A reasonably current listing of books (statistics and otherwise) that heavily utilize the R language can be found here . One recommended applied statistics text that is well integrated with the R language is Modern Applied Statistics with S by W. Venables and B. Ripley (4th Edition). While the book is technically written for S+ users, the set of MASS routines is also provided as part of the standard R distribution.