The current version of the packaged installer for the tools to build R and packages with compiled code is at http://cran.r-project.org/bin/windows/Rtools/.
The components of the software to build R itself, and additional software to build packages. This can also be used to build R-devel against the binary distributions it comtains
ICU packaged for use with R 3.1.1 and later. Unzip this anywhere (it unpacks to a single directory ICU) and set the location in MkRules.local.
The GDAL executables for use by the package called gdalUtils.
Directory goodies also contains some tools. These are 32-bit executables, so will run on any version of Windows.
file-5.03.zip is a build of the file found on Unix-alikes. It will be used by R CMD check, and is contained in Rtools212.exe and later.
gettext-tools.zip are the GNU gettext tools used for working with message translations. You will want these to use tools::update_package_po.