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RMySQL Windows Binary distribution.

You need a Windows installation of MySQL 5.  RMySQL should be able to
find from the Windows Registry where it is, but if this fails set the
environment variable MYSQL_HOME to the top level of the MySQL
distribution.

MySQL will need to be running.  It is normally installed as a service
that is started automatically, but you might need to start the service
or launch a daemon process to start it.