When I try to install mlr package, I get this error message
Package which is only available in source form, and may need compilation of C/C++/Fortran:
‘mlr’
These will not be installed
Your issue happened once to me, if I remember right, you need Rtools as others have said. Notice, though, Rtools is not a package, it's an official maintained package-building application.
You must download it from the release page: Building R for Windows.