After R is done running a long data crunching process, you may need to notify the operator to check the R console and provide the next commands. Without installing any more software or creating any batch files or VBS scripts, here is a simple way to create the popup notice in Windows:
system('CMD /C "ECHO The R process has finished running && PAUSE"', invisible=FALSE, wait=FALSE)
R will launch a command prompt window with the message (which can be customized, of course), and the notice stays open until manually closed.
This trick was adapted for R from Dave Webb on stackoverflow.com.
Tested with R 2.15.2 and R 3.0.0 on Windows 7.