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installing knncat package

This is an error in the package.  In file src/Makevars it has

LAPACK_LIBS=$(R_HOME)/src/modules/lapack/libRlapack.a

which is a reference to the R sources.  That should not be there: please 
remove it and this may well work.

However, your version of R is rather old, which is why you are not seeing 
a pre-compiled version.   R 2.0.1 will be out this week, and please 
upgrade to it when all the current packages which compile under Windows 
will be available to you, pre-compiled.
On Mon, 15 Nov 2004, Jenny Edmondson wrote:

            
[...]
-lRblas -lg2c -lg2c