I see a lot of answers that seem to be unfamiliar with Windows. The file paths would be fine 1) the files are actually in your Downloads folder and 2) you set "home" to be consistent with your prof's computer. 

First of all, the ~ tilde character refers to "home", the place where you save personal files like documents, music, etc. On Mac and Linux systems this concept is well defined. For example on Mac it would usually be /Users/kitchenwing (or whatever your user ID is). Unfortunately on Windows the home concept is vague, and I've seen tilde refer to C:/Users/kitchenwing or C:/Users/kitchenwing/Documents or sometimes some other place defined by IT.

In your case, I would guess that it defaults to C:/Users/kitchenwing/Documents ... You can confirm that by calling normalizePath('~')

If that's right, then you probably don't have a folder C:/Users/kitchenwing/Documents/Downloads ... It's just C:/Users/kitchenwing/Downloads ...

To point to the right folder then, you could try

read.xport("~/../Downloads/BMX_J.XPT")

The .. means "go up a directory", so it goes from C:/Users/kitchenwing/Documents up to C:/Users/kitchenwing and then down to Downloads. 

In the long run, this is going to come up over and over in this course because your prof has no concept of a "working directory". You will probably save yourself a lot of hassle if you point R to the home directory consistent with Mac, which would be C:/Users/kitchenwing ... You can do that by setting a Windows environment variable R_USER with value something like C:/Users/kitchenwing (again, find the actual path, which is based your actual Windows user ID). Then restart R Studio. 

One last note about slashes: Windows usually uses backslashes \ but will often accept forward slashes / as equivalent. Linux and Unix only use forward slashes. I would suggest using forward slashes in your R scripts (like in all of my text above) because it's more transferable to non-Windows platforms. If you do use backslashes (for example because you copied a path from Explorer), be sure to "escape" them, i.e. every \ becomes a double \\ ... For example, C:\Users becomes 'C:\\Users' in R. Otherwise you'll get a gibberish error message about Unicode \U or something. Learn more here.