INSTALLING RUBE IN R:

Here's what I did in Windows Vista (your mileage may vary):

1. Download the following two files 
   rube_0.2-16.zip
   rube.pdf

   from http://www.stat.cmu.edu/~hseltman/rube/

2. Start R.  Click on Packages > Install Packages, chose a close-by
   CRAN mirror like "USA (PA1)", and find and install the following
   packages (by repeately clicking Packages > Install Packages, if need
   be...):
   
      R2WinBUGS
      coda
      lattice
      stringr
      plyr

3. Now click on Packages > Install Packages from local zip
   files...

4. When the navigation dialog opens, navigate to whereever you saved
   rube_0.2-16.zip to, and open it.

5. After it installs (almost instantaneous!), follow the instructions in
   Section 7 of rube.pdf to set the location of WinBUGS for Vista (this
   should be the same directory that WinBUGS is installed in.  For me the R
   command Sys.setenv(BUGSDIR="C:\Users\brian\Program Files\WinBUGS14")
   does the trick.
   
   ** Actually, I set BUGSDIR permanently, following the directions in 
      Section 7... Note that R won't "see" this change until you quit
      and restart R.

6. Try rube out with the following code:

   # get a canned example from the WinBUGS package
   ali = getBugsExample("Aligator") 
 
   # explore the example
   str(ali)
   names(ali)
   ali$model1
   cat(paste(ali$model1,"\n"))
   ali$data1
   ali$inits1

   # check the syntax of the model 
   with(ali, summary(rube(model1, data1, inits1)))

   # estimate the model using WinBUGS
   result = with(ali, rube(model1, data1, inits1,
      parameters.to.save=c("alpha","beta"), n.chains=2))

   # get a tabular summary of the parameter estimates
   print(result)

   # get an interactive graphical summary of the parameter estimates
   p3(result)