R has many "packages" each of which contain a number of useful functions. When you load a package it takes up some memory. Hence to be efficient with memory these packages are not pre-loaded into R. When you discover you need a certain package you can download it (step 1 below). You only install it into R (step 2 below) when you need it.
The process works like this:
So far what you have done is to download the package onto you machine or network. You only need to do this once....
...however, the package has not been loaded into R yet, and this stage you do every time you need it. (You can always write functions with "require(PackageName)" as the first line so this will happen automatically.).
That's it!