I wish I would have discovered this long ago. Loading data into R or MySQL requires you to specify the full path to the file. If you do this on a Windows machine there are two annoyances. First, if you save something to your desktop the path to your desktop is really long. Second, windows by default uses backslashes "\" in the file path, while R or other software requires forward slashes "/". ClipPath is a tiny program that adds an entry to your right-click menu to copy the full file path with a forward slash, then you can paste the filename into whatever program you're using.
Download the zipfile from the website below (here's a direct link to the zip file). Extract it's contents, right click on ClipPath.inf, and choose install. You can always uninstall later through the control panel.
ClipPath Shell Extension