The forecast package for R has been updated to version 2.12, but there are currently only windows binarys for 2.11 available on CRAN.
How do I install an R package from the source on Windows?
I know this is an old question but it came up first in my Google search for this same question, even though I knew the answer I just wanted something to copy and paste. Which makes it worth improving the answer for future reference. So here is what works for me:
Install rtools, then:
install.packages(path_to_file, repos = NULL, type="source")