install.packages("xlsx")
WARNING: Rtools is required to build R packages but is not currently installed. Please download and install the appropriate version of Rtools before proceeding:
This seems like a connectivity issue, R is not being able to connect to the CRAN repository you have selected, these are some things to try.
Choose a different CRAN repository, RStudios repository is a good choice (http://cran.rstudio.com/) or you could choose one that is geographically closer to you.
Check if your internet connection has traffic restrictions of some kind, like a firewall, proxy server, etc. This is usually the case when you are at work or school.