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install pls.pcr package

I am assuming you are using Windows.  So why did you download the source 
file?  If you are using the Packages -> Install packages from local zip 
files menu, why not just choose Install packages from CRAN, then select 
pls.pcr?  

Alternatively if you want to download the "compiled" package, you should 
do it under http://cran.r-project.org/bin/windows/contrib

Please refer to Section 3.1 of the R for Windows FAQ for details 
(http://cran.r-project.org/bin/windows/rw-FAQ.html)
On Wed, 18 Jun 2003, Dowkiw, Arnaud wrote: