Again a reminder: Linux is the supported platform for this class. Except when a problem specifically requires resources only available on Linux you are welcome to use Windows, but you may have to resolve any issues you run into on your own. Solutions you come up with can be added to this list upon request.
Using R on Windows you can use the Save As item in the File menu when the graphics window is the front window to save the current graph in several formats, including
If you want to save a graph on Linux for use in Word you can use the postscript, png, or jpeg devices, or you can use dev.copy2eps or dev.print. The saved files can then be transfered to a Windows computer. Except for postscript output you may need to make sure you transfer the files as binary files.