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Windows Compilation
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Verify if MinGW in in the PATH (to put it there follow the instructions in "Environment Settings" in http://www.mingw.org/wiki/Getting_Started).
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If you never used OpenMP with MinGW, you will also need to install OpenMP libraries. To do so, open the MonGW installation manager, go to "All Packages > MinGW > MinGW Base System" and install "mingw32-libgomp" and "mingw32-pthreads-w32".
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One way to configure the RNet CMake is to go to CMake GUI, open configuration menu, select "MSYS Makefiles" option on the dropdown and "Specify native compilers" in the window list. After, click "Next", fill paths to GCC and G++ (ex: C:/MinGW/bin/gcc.exe). Than, hit "Finish" to configure CMake.
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Hit the "Generate" button to generate Makefile.
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To compile RNet, go to MSYS, browse the build directory and execute "make" ("mingw32-make" will not work properly due to POSIX path incompatibility: http://blog.gmane.org/gmane.comp.gnu.make.windows/month=20050601).