It's not an R package!
If you perform the tar, zip dance:
tar xvfz nlopt-2.4.2.tar.gz
and look at the README, you get:
NLopt is a library for nonlinear local and global optimization, for
functions with and without gradient information. It is designed as as
simple, unified interface and packaging of several free/open-source
nonlinear optimization libraries.
The latest release and a complete manual may be found at the NLopt
home page: http://ab-initio.mit.edu/nlopt
It is compiled and installed with the standard GNU autoconf/automake
commands:
./configure
make
make install
-- snip --