spaMM is conceived to minimize installation issues but it nevertheless suggests using some external libraries. These are all accessed through R packages so their installation should be easy when installing binary packages. The Details below give hints for installing packages from source. For all cases not considered below, help yourself.
The ROI.plugin.glpk package requires the Rglpk package, which itself requires the external glpk library. For the latter, Debian-ists and alikes should sudo apt-get install libglpk-dev. MacOSX users should brew install glpk if using brew; Windows users may need to install glpk from https://sourceforge.net/projects/winglpk/.
The nloptr package requires the external NLopt library. If you need to install it from source on Windows and depending on the version of g++ included in your installed version of the Rtools, you may need to be a geek, as available precompiled static libraries may not link.