How do I download a dataset using R?

Just pick a dataset and enter its Quandl code, like this:
mydata = Quandl("FRED/GDP")

By default, the data is returned in a data frame.  Quandl can also return data in time series, extensible time series and zoo formats. To get these other formats, you would modify your call as follows:

mydata = Quandl("FRED/GDP") 			# data frame
mydata = Quandl("FRED/GDP", type="raw")		# data frame
mydata = Quandl("FRED/GDP", type="ts") 		# time series
mydata = Quandl("FRED/GDP", type="xts") 	# extensible time series
mydata = Quandl("FRED/GDP", type="zoo") 	# zoo
mydata = Quandl("FRED/GDP", type="timeSeries")  # timeSeries

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