You did not mention your specs, but here's how I do it on my Win2K machine,
behind a firewall, behind a proxy.

1-
If you're behind a proxy, load R through a batch file that loads
internet2.dll.  To do so, open a notepad document.  Write:

PATH C:\Program Files\R\rw2010\bin
START Rgui --internet2

Save your file as "r.cmd" in your C:\Program Files\R\rw2010\bin directory

FYI, internet2.dll makes R access the internet the same way your internet
explorer does.

2-
Here's the code I use to download and extract a zip file from the net. 

download.file("http://www.cftc.gov/files/dea/history/deacot2005.zip",
"c:/tmp/monthly/deacot2005.zip", 
"internal", quiet = FALSE, mode = "wb",cacheOK = TRUE)
unzipped<-zip.file.extract("c:/tmp/monthly/annual.txt", zipname =
"deacot2005.zip")


Regards,

Pierre Lapointe
Assistant Market Strategist
National Bank Financial



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