Download the syntax highlighting file: http://community.jedit.org/?q=filestore -> You can find "R Edit Mode - extensive version" in the top 10 list, it should save as "r.xml".

Aside: This is not necessarily the best way to do this. It would be better to edit the global catalog file rather than the user file. However, it is the easiest method. After jedit is open, go to: Utilities > Settings Directory > modes open up the catalog file. You should see something like this, only without the addition you should make. TAKE NOTE of the "Path", and put the "r.xml" file in that directory (the one with "catalog" that you are editing - your probably going to have to use an external file browser to do this).

<?xml version="1.0"?>
<!DOCTYPE MODES SYSTEM "catalog.dtd">

<MODES>

<!-- Add lines like the following, one for each edit mode you add: -->
<!-- <MODE NAME="foo" FILE="foo.xml" FILE_NAME_GLOB="*.foo" /> -->

<MODE NAME="R" FILE="r.xml" FILE_NAME_GLOB="*.rt" />

</MODES>

Now, the usual file extension for an R file is "*.R". However, this conflicts with REBOL. To make things simple, just use "*.rt". (See aside - otherwise you must edit the global file which seems to supercede the user file.).