Install the (.exe) by double clicking it and accepting the default settings.
You can use the R-GUI which comes by default with the installation or as specified in the next section use an IDE (RStudio)
The instruction to install Linux varies from flavor to flavor
Easiest way –
yum install R
RStudio is a free and open source integrated development environment (IDE) for R. It consists of a console where the user can type R commands and an environment which shows the data that has been loaded. R should be installed first. R Studio once downloaded and installed should detect your R installation.