It sounds like Skyline is failing to download and install R version 3.6.1.

You might have better success if you install that version of R yourself first.
You can install that version of R from here:
https://cran.r-project.org/bin/windows/base/old/3.6.1/

After you have installed R, you can ask Skyline to install the MSstats External Tool. Skyline will see that R version 3.6.1 is already installed, and Skyline will go on to the next step of the process which is to install the necessary R packages.

Let us know if you are still having problems.
-- Nick

Thank you very much. This problem is solved but now I have this error:

** Reading the data for MSstats.....
Error in SkylinetoMSstatsFormat(raw, removeProtein_with1Feature = TRUE, :
  ** Please check annotation. Each MS run can't have multiple conditions or BioReplicates.

Each Bioreplicate has a different consecutive number
Regards
Irene

That error happens if you have imported the same result file more than once.
In Skyline, you should go to:
Edit > Manage Results
and remove the duplicate replicates so that each result file only belongs to one replicate.

Another user ran into the same error here:
https://skyline.ms/announcements/home/support/thread.view?rowId=51055

-- Nick