getdata-76 - I had the same problem. Now this is just my take, but I would not bother spending too much time on it and potentially messing up your system if you don't plan to use it it the near future. We never see it again in the rest of the course and afaics it is just used to 'demo' the use of SQL without using a real database.
I found a solution which worked for me without installing X11 or Tcl/Tk which was to set an option before loading the library:
options(gsubfn.engine = "R")
library(sqldf)
also see http://code.google.com/p/sqldf/ for other common troubleshooting tips.