Most of the R packages are available from your Linux distribution's standard repository. In case that you fail load library because is missing, install a package which comes with your linux distribution.
Error in library(package) : there is no package called 'package'
If you cannot find such a package in your distribution repository, there is always a way to install it using R interface it self.
First locate your desired R package source file on the cran mirror: http://cran.r-project.org/ and then download the package source file to some directory. /tmp/ would be also fine.
then run a following R command from the shell:
R CMD INSTALL
this will do nothing but it will output a library directory if set. The following command will compile and install R package( -l /my/library/path/ to select different install destination):
R CMD INSTALL /tmp/numDeriv_2009.2-1.tar.gz