If you did not find the geographic information you need in the first propositions of the map section of the gallery, you need to find this information somewhere else, on the web. Usually, you will find it as a shape file format. This format is composed by several files that you need to keep together in the same folder.
You can download these files from the web easily. Here is an example: how to download a shapefile, charge it into R with the rgdal library, and plot it.
See graphics #169 and #170 for further manipulation: zooming and selecting areas.
# -- Step1: Download the shapefile. Here I use world countries borders, found on http://thematicmapping.org/downloads/world_borders.php
download.file("http://thematicmapping.org/downloads/TM_WORLD_BORDERS_SIMPL-0.3.zip" , destfile="world_shape_file.zip")
# -- Step2: Unzip this file. You can do it with R (as below), or clicking on the object you downloaded.
# -- > You now have 4 files. One of these files is a .shp file! (TM_WORLD_BORDERS_SIMPL-0.3.shp)
# Read this shape file with the rgdal library.
my_spdf=readOGR( dsn= getwd() , layer="TM_WORLD_BORDERS_SIMPL-0.3")
# -- > Now you have a Spdf object (spatial polygon data frame). You can start doing maps!
# Basic plot of this shape file:
plot(my_spdf, col="#f2f2f2", fill=TRUE, bg="skyblue", lwd=0.25, mar=rep(0,4), border=0 )