Meaning of common message when install a package "There are binary versions available but the source versions are later"

Hi @jennybryan,
Thanks for your reply, it helped me too, a lot. I'd like to do just that, install locally from tar.gz (is it even possible to install a package whose binary is not yet available for Windows?) but I don't know how to set up the build tools for R. Could you point me in the right direction?
Thank you!
PS: you must have guessed my level of newbieness , so please forgive my unintentional stupidity.