I can't believe I am the first to say this, but all searches related have come 
up pretty dry.
I have installed the GSL setup file " Complete package, except sources  Setup   
  6476814       11 July 2006" from
http://gnuwin32.sourceforge.net/packages/gsl.htm

Rather than the default installation location in C:\Program Files, I installed 
directly to my root C: directory to avoid the space in the default, non-POSIX, 
directory.  So, I have brand-new directory called C:\GnuWin32, which contains 
bin, include and lib folders along with others in familiar fashion.  The GSL 
Setup program did not create or touch any Windows environment variables (like 
PATH).

Now I need to teach R how to find this.  (So, it in-turn can let gcc know these 
things also?)

For this there is some sort of configure script that must be run.

The Vignette says "We may need to find the location of the GSL headers and 
library, and this done easily from a configure source script which autoconf 
generates from a configure.in source file such as the following:"
[I will not duplicate this script here.]
"Such a source configure.in gets converted into a script configure by invoking 
the autoconf program."

I think this autoconf program relates specifically to a Linux environment.  
Windows seems to know nothing of the sort.

Then the Vignette continues with:
"
Similarly, the configure.win for windows can be written as:
GSL_CFLAGS=`${R_HOME}/bin${R_ARCH_BIN}/Rscript.exe -e "RcppGSL:::CFlags()"`
GSL_LIBS=`${R_HOME}/bin${R_ARCH_BIN}/Rscript.exe -e "RcppGSL:::LdFlags()"`
RCPP_LDFLAGS=`${R_HOME}/bin${R_ARCH_BIN}/Rscript.exe -e "Rcpp:::LdFlags()"`
sed -e "s|@GSL_LIBS@|${GSL_LIBS}|" n
-e "s|@GSL_CFLAGS@|${GSL_CFLAGS}|" n
-e "s|@RCPP_LDFLAGS@|${RCPP_LDFLAGS}|" n
src/Makevars.in > src/Makevars.win
"

Now, honestly guys, I've mastered a number of tasks so that I can build and 
check Rcpp and RcppArmadillo packages on both Windows and Linux.  But I am now 
stumped with what to do with this configure.win file.  Some of us really need 
hand holding.  Sorry I had to ask.



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