I have been playing with the kdb/R interface from kx.com, and had some problems installing with Cygwin gcc. It may be possible to get this to work with Cygwin gcc + a Win32 threads library, but in the meantime I installed MinGW, and it works perfectly. Here are the steps (basically as per the kx docs):
1. Download c.o from here: http://kx.com/q/w32/
2. gcc -c base.c -I. -I "${R_HOME}/include/"
3. gcc -Wl,--export-all-symbols -shared -o qserver.dll c.o base.o ${r
-HOME}/bin/R.dll -lws2_32
The resulting qserver.dll can be loaded via dyn.load(), and then (just using the qserver.R supplied by kx) from within R:
source("qserver.R")
conn < - open_connection("server", 12345)
result <- execute(conn, "select avg bid by sym from fx_quote")
x <- as.data.frame(mapply(FUN=c, result))
> head(x, 10)
V1 V2
1 AUD= 0.792402880224811
2 AUD=D2 0.791632149468651
3 AUD=EBS 0.790402776387278
4 AUDCHF=R 0.85955071021153
5 AUDJPY=R 75.0707755671935
6 BRL= 1.97194091379422
7 CAD= 1.15980648929715
8 CAD=D2 1.15962545479939
9 CAD=EBS 1.14104373919176
10 CADJPY=R 81.6389284332255