The website for rMetrics gives you a permanent source for getting Rmetric resources, but Kevin Lo has put together a zip package with the stuff you need.
First, you need to load all the packages into R by going to Packages >> Install packages(s) from local zip files... This should be a one time process and don't need to do it again in order to use them in the future. The txt file Kevin included has the code I've written up for importing a typical CSV data file from the CRSP site. Included is a sample IBM return series that Kevin downloaded off of CRSP. You can use that to test the code.
Kevin also included a zip file with this email containing some PDF files that may be useful for reference. The PDFs tell you what functions in R can be used to perform various time series operations.
You do not need to type the full file path of a file in order to call it in R.
For example, in Kevin's code he simply calls the dataset by calling "ibm.csv" even though it could be located in say "c:/windows/desktop/statfiles/ibm.csv" you can do this if you set the working directory to "c:/windows/desktop/statfiles/" in the File >> Change Dir... menu on the toolbars. Consequently, R assumes you are only calling files from "c:/windows/desktop/statfiles/" and thus you only need to call files by the file name and don't need the entire file path. This is quite useful on its own.
The working directory is reset by R everytime you restart the program. Thus, you need to change the working directory before every session after opening up R. But you can change the default working directory in R. Such that everytime you open R, the working directory is already set to what you want.
To do this, you right click on the shortcut to R in your START menu. Then under Properties, you can set the "Start in:" field. This will be the working directory R will use as default each time you start the program. This can be very useful because you can assign one folder on you computer for all your datasets and be able to refer to these datasets simply by their file name while not having to go through the trouble of redefining your working directory each time you restart R.