I tried to install the RMySQL-library (R version 2.14.2, WinXP on 32bit) but got the following error message:
install.packages(\"D:/R/library/RMySQL_0.9-3.ta
I had this same issue. What I found out was that installer was placing temp files in my default working directory which I had edited in the Rprofile.site file. When it tried to subsequently use these files (including mysql.h) it could not find them. When I restored the Rprofile.site file to default, everything worked nicely. Hopefully this helps if nothing else did.