>I understand that I cannot use Visual Studio compiler to build code written in 
>C++ that uses Rcpp header files. Assuming this is the >case, what are the 
>other options that I have to be able to code in C++ which either internally 
>uses Rcpp sugar for R functionality or >implements its own methods to be used 
>in R environment as a package.

I suggest paying closer attention to your email subject-line; it can
have a disproportionate impact on the quality of the replies that you
receive.

If you're stuck on a windows box, you might want to set up a
development environment in a virtual machine.  There are a number of
nice free/opensource VM tools available (e.g. VirtualBox, see
http://en.wikipedia.org/wiki/Comparison_of_platform_virtual_machines).
 You could even use Amazon EC2 instance -- the lowest-tier ones are
quite cheap, with community images containing complete development
environments.

>Is cygwin compiler part of the open source R install?

No.  See http://cran.r-project.org/doc/manuals/R-admin.html#Getting-the-tools
Incidentally, there's no such thing as a *non* open-source R install :)

-Christian
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