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Making rmath.dll (or equivalent)

It is Rmath.dll: case often matters in searching.

You should look in the obvious manual in your (old) installation, the 
'R Installation and Administration' manual.  The current version is at

http://cran.r-project.org/doc/manuals/R-admin.html#The-standalone-Rmath-library
On Mon, 8 Aug 2011, sgomori wrote:

            
If you have a binary install, you cannot build R from it.