Microsoft has not one version of R, they have two but two. These two different versions are needed because they have two different purposes in mind. Microsoft R Open, is open source and fully R compatible and is faster than open source R because they rewrote a number of the algorithms to include multi-threaded math libraries. If you want to run R code on SQL Server, this is the not the version you want to use. You want to use the non-open source version designed to run on R Server, which is included with SQL Server 2016, Microsoft RRE Open. This version will run R code not only in memory but swap to disk, to create code which can access SQL Server data without needing to create a file, and can run code on the server from the client. The version of RRE Open which is included in SQL Server 2016 is 8.0.3.
She follows this up with a demo program to pull data from a SQL Server table and generate a histogram. If you have zero R experience, there’s no time like the present to get started.