GPU Accelerated Data Processing for R in Windows
From my experience setting up GPU processing for R is hard, setting it up on a Windows machine is even harder. Additionally, GPU processing can only be used for very specific types of calculations.

If you just want to setup GPU processing for the sake of it, then my answer is quite useless.

If you however care about general performance optimization of your system and your code, I advise to check the following steps:


Use Microsoft R Open instead of Base R because it automatically enables multicore processing on your machine.
Vectorize your code
Use libraries such as data.table instead of dataframes
Avoid growing objects


In general, R's performance depends strongly on your code quality. A very good summary on what you can and should do is provided in R Inferno by Patrick Burns.