Install the proper ODBC driver (
http://dev.mysql.com/downloads/connector/odbc/)
Add the database as an ODBC DSN. This is available in Windows in Administrative Tools -> Data Sources (ODBC). (Enable by right-clicking on Start Menu, "Customize...", and select one of the display options under "System administrative tools".) Add the database under "File DSN" (most likely) or "User DSN".
Use R to open ODBC connection:
library(RODBC)
dsn <- "this is the dsn assigned in the windows tool"
db <- odbcConnect(dsn)
sqlQuery(db, "select * from whatever")
sqlSave(db, df)
Data in df. Sorry I can't give you the exact process, but I don't have the necessary data.