R help - Apr 2007 - Compile C codes for R use.

Hi, all
    I was learning to compile C code for use in R, but I got stuck on the first
step.
I am using the R in windows ( 2.4.1 binary) , I opened the command prompt (Run)
in windows and issued :
    
R CMD SHLIB C:\cygwin\home\Owner\R\test.c

but no object file was created , could someone tell me what is wrong ? 
And is there a more convenient way to isssue the the above command, it is really
troublesome to have to
open the windows command prompt all the time. 

Thanks a lot for your help\

tong