Having installed Cygwin, put Makefile and mysrc.f in
a suitable directory (c:/Home/Research/Expt assumed below),
then type 

make

Then go into R, and type

setwd('c:/Home/Research/Expt')
source('myfun.R')

a<-matrix(sample(20),4,5)
a
myfun(a,3)
a[order(a[,3]),]