Unfortunately, as mentioned, this is not the best place to get help with Sweave. We do have some starter docs (if you haven't seen them - see the Sweave section):
This explains how to insert code chunks via the menu, etc. Also you can either copy your R code into the code chunk (or build up the code from within the chunk itself) or you can source scripts in. Note that you'll need to put the full path to the file and that Sweave runs in a separate environment for reproducibility:
Note that for reproducibility purposes, this compile runs in a separate process and environment (rather than using the current workspace). This is to ensure the script will always produce the same result and not be effected by (or pollute) your regular R environment.
Finally, you can compile the .Rnw into a PDF from within RStudio. You should just use the "compile" PDF button for this. Also here a RStudio video I created for our 0.96 release that goes over various features with Sweave. It doesn't explicitly cover how to get started, but hopefully it shows enough of this as well as how to use some other helpful features:
Also a basic example of working with Sweave which is a good introduction and the source code: