While trying to install a package for R on Windows, I realized not all of them are available for the latest version. The package bigmemory does not seem to exist on Windows (click on the link). However after a couple of web searches, you can find that the instruction might work:
install.packages("bigmemory", repos="http://R-Forge.R-project.org")
But it does not work on the latest version, only R-3.1. That's what this page indicates: R Development Page (click on this link).