1. Zip & load the package windows binaries in a dataset
2. Import it to the R environment
3. You can follow the instructions over here
4. This is for any generic packages which are not pre-loaded in the environment
5. The following is a list of experiments to publish R models as a web service
Hope this helps!
Edit: You can also simply change the R version to Microsoft Open R (current version 3.2.2) and you can import xgboost as any common library