JRI is a Java/R Interface, which allows to run R inside Java applications as a single thread.
JRI comes bundled with rJava, so the best way is to simply install rJava. It is available from CRAN, so you can use in R:
install.packages("rJava")
JRI uses native code, but it supports all platforms where Sun's Java (or compatible) is available, including Windows, Mac OS X, Sun and Linux (both 32-bit and 64-bit).