Add a third-party program to an installer

Yes, it is possible. Basically you can add the 'R' installer, as a feature on your own installed, and treat for your process to wait for the installation of 'R'

Here is an example where dotnetfx35 is required:

[Files] Source: D:\dsv\projetos\geral\Instalador\nfe\dotnetfx35_sp1.exe; DestDir: {#MyAppDirIns}; Flags: ignoreversion

[Run] Filename: {#MyAppDirIns}\dotnetfx35_sp1.exe;

Good evening,

Just reinforcing it with another example, I'll show you part of my company's ERP installation script:

[Files]
Source: "..\..\..\SetupSystec\Systec\*"; DestDir: "{app}"; Flags: ignoreversion recursesubdirs createallsubdirs promptifolder; Languages:  brazilianportuguese; Permissions: system-full
Source: "..\..\..\SetupSystec\Componentes\*"; DestDir: "{app}\Componentes\"; Flags: ignoreversion createallsubdirs recursesubdirs

[Run]
Filename: {app}\Componentes\TDBGrid7.0.0285_patch.exe
Filename: {app}\Componentes\psqlodbc.msi; Flags: shellexec waituntilterminated

In this example, the "Components" folder receives third-party files. Putting the programs in it, in the [Run] tag is just to indicate how you want the programs to run. For your installation to continue only after the X program is installed, place the Flags: shellexec waituntilterminated flag