I apologize for the inconvenience. I had all packages already
installed and didn't realize that it takes some effort to get
the graph and Rgraphviz package; here comes how to get them:

To install "pcalg", you need two packages (graph and Rgraphviz) that are
not on CRAN but in Bioconductor (www.bioconductor.org).

In order to be able to use the Rgraphviz package, you have to install
graphViz. You get it from http://www.graphviz.org/Download..php. I have not
much experience installing Rgraphviz or graphViz on different
machines. Please ask the R-help list or the maintainers of Rgraphviz if you
have further problems installing it.

If graphViz is available on your computer, getting the graph and Rgraphviz
package from Bioconducter is easy:

Open R;Then type
> source("http://www.bioconductor.org/biocLite.R")
> biocLite(pkgs=c("graph","Rgraphviz"))

If you want to install the packages to a specific folder, use the
lib="/here/comes/your/path" option in the last command.

Hope this helps!
