Well, this is not a very clean solution for Windows, but you can use the tex4ht package and call htlatex in the latex file after sweaving.
Something like a system ("htlatex somesweavedfile.tex") after running Sweave from the R-interface (which I assume). By the way, this html can also be opened with an open office, and then converted to a word, which is always useful.
I always did this (on Windows) from the command line, and the man page for? The system notes that some commands may not work properly in Windows. From my reading of the corresponding help page, it seems like it will be. The only problem may be that if the htlatex command has a problem and tries to tell you, I'm not sure if the data will return from stderr to the R GUI.
Just to mark Tal, the mk4ht package is also available on Windows, but I see how you might not have gotten that impression of a webpage that is very specific to Linux (and also very useful to me, thanks for the link! )
EDIT: in response to Tel's comment below.
If you install MikTeX on windows, this will give you a package manager that you can use to install mk4ht. This should (all the right ways) allow me to fulfill my answer.
source share