Note: This will only work in the Express Edition, I tried to do it in The Microsoft Visual C++ Studio full package 2008 and it didn't work.

Installation will be from steps 1 to 4, to make things easier next time.
Future compiling will be steps 5 and 6 only. This, assuming you permanently use that folder as the "making-dll" directory.

1. Go to Start > All Programs > Microsoft Visual C++ 2008 Express Edition  > Visual Studio Tools
2. Right-click on: Visual Studio 2008 Command Prompt and click on Properties.
3. Modify the "Start in" path to where files "ar.c" and "ar.def" are. The path is recommended not to have blank spaces in any folder names.
4. Allow (if any) Windows Vista (or anti-virus) confirmation or warning message (this is not harmful, similar of what we can usually do with R to start quicker and save keyboard time).
5. Go to Start > All Programs > Microsoft Visual C++ 2008 Express Edition  > Visual Studio Tools > Visual Studio 2008 Command Prompt.
6. Type this (do not ommit or put any other argument as default options are being switched on/off and therefore you might not get the desired DLL file):

cl /LD ar.c ar.def

Careful typing: I have been receiving several e-mails regarding this issue and this is the problem: depending on your browser, you might not realise there are some spaces in the previous command line. Therefore, the above line reads:

cl[SPACE]/LD[SPACE]ar.c[SPACE]ar.def.

As mentioned before, this option is the second best. I found more handy the option 3, which compiles the .dll file directly with R.