newbie questions...

just started using r.  a few questions I can't figure out.

first, when loading in a text file, I can do it from the web but not
from hard drive.
Fil<- 'http://www.test.com/file.txt'    -- works
Fil<- 'c:\program files\file.txt' --does not. what am i doing wrong??

also, how do you plot a graph of a time series that is lagged?  
i.e., plot(sp,type='l')     but say for sp[t-1] ??