R is not a statistical software package, it's a programming language, primarily for statistical purposes. RStudio is an IDe (integrated development environment) which makes work easier.
What you describe as "Chinese" are commands or functions to perform certain actions.
What you have written will write the object NHANES to a file, but you have not specified a valid file name. You either need to change this to "c:/temp/test.xls" (any system) or "c:\temp\test.xls" (Windows only).
For anythingelse you'll need to provide something we can reproduce: