From the RQuantLib CRAN page, for Windows (README link):
http://cran.r-project.org/bin/windows/contrib/r-release/ReadMe
I have it running on XP, but I went to QuantLib's site and built the
packages on Windows manually. As Sarbo and Olivier pointed out,
fOptions/fExoticOptions may be your best bet if you can't build the QL
packages on Windows. I'll try to dig thru my notes to reconstruct how I
got the RQuantLib package working (R 2.11.1, XP).
Regards,
C