In R, you can set a working directory in this way (I use C:/temp as an example).
You need to be careful about the slash. Microsoft Windows uses backward slashes, "\", to indicate the folder structure. R uses forward slash, "/" at least on my machine. This may be OS-dependent, so to really determine which slash is used on your environment, try this command to know the currently working directory and see which is used:
I got this on my personal PC ("/" is used).
Alternatively, go to File and click on Change dir… to specify the working directly.