See Dr. Gelman's page with some examples.
Install Winbugs - follow the instructions here
http://www.stat.columbia.edu/~gelman/bugsR/runningbugs.html

Although, he has moved to the language/package Stan instead of
WinBUGS (http://mc-stan.org/)
but his WinBUGS examples still work.

Steps:

1. Install WinBUGS from
http://www.winbugs-development.org.uk/

2. install libraries  R2Winbugs and arm in R

3. Test them out with the examples