[But you don't have to use BRugs any more. See this more recent blog post about JAGS.]
See updated post regarding BRugs and OpenBUGS.
The programming language R was recently updated to version 2.14. Unfortunately, BRugs is lagging behind, so it does not yet work with R 2.14. As of minutes ago, Uwe Ligges tells me, "I hope to get a new version to CRAN 'soon', i.e. within few weeks." Meanwhile, keep your older version of R installed if you want to use BRugs!
If you don't have a previous version of R, I happened to have the R 2.13 installation executable sitting on my computer, and I've made it available here:
http://www.indiana.edu/~kruschke/DoingBayesianDataAnalysis/Programs/R-2.13.0-win.exe Just save it and then execute it to install R 2.13. Then, invoke R and type install.packages("BRugs") to install BRugs.
If you are using RStudio, and have R 2.14 installed in addition to R 2.13, you have to tell RStudio to use R 2.13. In RStudio, do this:
-> R General
-> R Version "Change..." button
-> browse to something like C:\Program Files\R\R-2.13.0
Then quit RStudio and restart it.