R in standalone application

I am trying to build a C application where I need to compute some 
statistics to take decisions about the direction to give to a user, 
knowing his/her habits. Because I used R back at school, I thought I can 
use some of his functions in my application,  as a shared library. I 
reviewed the "Rinternals" and "R extensions"  documents, and decided to 
give a try to the REmbedded.c file. Compilation and linking went well. 
But the execution failed with a "Fatal error: R home directory is not 
defined". Does it mean that R has to to be distributed with my 
application or, did I miss something in my readings ? If that is of any 
importance, I am working on unix but aim for full portability (i.e 
Windows too)

Thanks for any assistance.