When I came to know that I can create a R package with C++ using Rcpp, I was excited about it and eager to know development environment for it. And thanks to Fell Stat Blog, I could quickly establish a great environment using Eclipse with StatET, its plugin for R, to use Rcpp and RInside (another package for embedding R into your C++ application) on Windows.
Since the blog was, however, based on OS X, several things required trial & error (& almost give-up) to adjust for Windows - it took me 6 hours of my leisure time. For example, you need to install Rtools to be able to compile C/C++ using R CMD statements and Miktex to convert your Rd files to pdf file. In addition, build settings are different from OS X.
In order to save others from possible trial & error period I've experienced, I made this wiki on Eclipse + StatET + Rcpp on Windows. Feel free to make comment or another answer. Otherwise, enjoy this great open source environment for analytical software development you can get.
UPDATE (late 2016): Few years ago, I changed IDE for R from Eclipse to RStudio and I recommend it for everyone using R and Rcpp.