It is very easy to do. Here are the steps:

1. Start R.

2. Run this R command:

   dir.create(Sys.getenv("R_LIBS_USER"), recursive = TRUE)

   This will create a personal \Users\$user\My Documents\R\win-library\x.y for version x.y of R. It only needs to be run once, to make sure that the directory structure exists.

3. You can install packages at this point in the usual way.

4. You will need to restart R to see the packages you installed in the previous step in the Load Packages dialog.

5. You will need to update the personal library if the version changes. R's FAQ suggests:

   For those with a personal library (folder R\win-library\x.y of your home directory, R\win64-library\x.y on 64-bit builds), you will need to update that too when the minor version of R changes (e.g. from 2.14.2 to 2.15.0). A simple way to do so is to copy (say) R\win-library\2.14 to R\win-library\2.15 before running update.packages(checkBuilt=TRUE, ask=FALSE).