How to download R: 

Go to www.r-project.org

Click on "CRAN" under "Download", this leads you to CRAN mirror sites. 

Under the "United States of America", pick http://cran.stat.ucla.edu/
  and this leads you to the nearest mirror site. 

Click on "Windows (95 and later)"

Click on "base"

Save "rw1081.exe" to your computer and install R. 

All the contributed packages are now incorporated into the base package. 
You can see the list of contributed packages by typing 
library()
once you are in R. Typing
library(survival)
will make the survival package available. You have to type library(survival) 
anytime you wish to use the functions in that package. 


Note: R is a freeware alternative to the commercial software Splus. 
R is almost exactly the same as Splus from a User standpoint. 

To assign values to a variable, use "<-". For example,
x<-1:10

To use help documents in R for specific functions, type for example
help(coxph)