Issue compiling Rcpp programs with user-defined header files on Windows - r

Question

1. Issue
I was trying to compile an Rcpp program with a user-defined .hpp header file following an example in http://dirk.eddelbuettel.com/code/rcpp/Rcpp-attributes.pdf, p9, section 2.10.2. It compiles nicely in RStudio on my Mac and works well.
However, when I run exactly the same program on my Windows 64-bits laptop (Win 7), I get the following error message:
g++ -m64 -I"G:/R-32~1.3/include" -DNDEBUG -I"G:/R-3.2.3/library/Rcpp/include" -I"F:/_tst/rcpp" -I"d:/RCompile/r-compiling/local/local323/include" -O2 -Wall -mtune=core2 -c tst4.cpp -o tst4.o
G:\Rtools\gcc-4.6.3\bin\nm.exe: 'F:_tstrcpputilities.o': No such file
g++ -m64 -shared -s -static-libgcc -o sourceCpp_1.dll tmp.def F:_tstrcpputilities.o tst4.o -Ld:/RCompile/r-compiling/local/local323/lib/x64 -Ld:/RCompile/r-compiling/local/local323/lib -LG:/R-32~1.3/bin/x64 -lR
g++.exe: error: F:_tstrcpputilities.o: No such file or directory
Error in sourceCpp("tst4.cpp") : Error occurred building shared library.
It seems like the slashes in the file paths are lost (I assume instead of 'F:_tstrcpputilities.o', it should be 'F:\_tst\rcpp\utilities.o'?), but I have no idea how to fix this...
2. Tentative solution but unsuccessful
I tried adding my Rtools and Rtools/gcc-x.x.x/bin directory to PATH by using devtool as follows:
add_path("G:\\Rtools");
add_path("G:\\Rtools\\bin");
add_path("G:\\Rtools\\gcc-4.6.3\\bin");
Unfortunately it did not help. The same error remains.
So...
Well, I'm stuck here... Any help would be appreciated.
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S1. Supplementary info
Some information about my laptop/R/Rtools:
OS: Win 7 64-bits
R version: 3.2.3 (2015-12-10) -- "Wooden Christmas-Tree"
Rtools version: Rtools3.3
The test cpp code (filename: tst4.cpp) I used was:
#include <Rcpp.h>
#include "utilities.hpp"
using namespace Rcpp;
// [[Rcpp::export]]
double timesTwenty(double x) {
return timesTwo(x) * 10;
}
All .cpp and .hpp files are in the same folder.