I spent a few minutes today playing with Rcpp again. I found this blog post by Tony Breyal on installing Rcpp on Windows. Also there will be a Rcpp talk in Boston on April 17.
Here is the link:
Installing Rcpp on Windows 7 for R and C++ integration
Dirk Eddelbuettel and Romain Francois did a great Google Tech Talk that’s worth checking out.
Integrating R with C++: Rcpp, RInside, and RProtobuf[youtube:https://www.youtube.com/watch?v=UZkaZhsOfT4%5D
Here is a good Google Tech Talk on the C++ language.
An Overview of the Coming C++ (C++0x) Standard
By: Matt Austern and Lawrence Crowl
Also I have an old post on the subject that contains links to a blog post by Darren Wilkinson and Sanjog Misra you have to read if you want to work with R.
Statistics Made Accessible – R