I don't get how to insert the data and select which columns are going to be included on the regression
How does R work?

I'm bored enough to answer this question. Is your data in csv format?
Excel table...??
Look. I'm proctoring an exam and I forgot to bring my work. I'm going to hook you up. I'll assume that your columns are labeled y, X1, X2, and X3. I'll also assume that your Excel file is in the folder c:\documents.
Step 1: save the file as a csv file with the name "my_new_file.csv" 
You are too good for reg monkeys. Have you ever thought doing theory?
Step 2: type the following into R:
# Tell R which directory you're using
setwd("c:\documents")
# Import file
my_data < read.csv("my_new_file.csv")
# Run a regression
my_ols < lm(y ~ X1 + X2 + X3)
# View results
summarize(my_ols) 
Step 2: type the following into R:
# Tell R which directory you're using
setwd("c:\documents")
# Import file
my_data < read.csv("my_new_file.csv")
# Run a regression
my_ols < lm(y ~ X1 + X2 + X3)
# View results
summarize(my_ols)My question is how can I know where the data for each variable is seen that I can't actually see which column is which?

I made a mistake. I'm correcting it here:
Step 2: type the following into R:
# Tell R which directory you're using
setwd("c:\documents")
# Import file
my_data < read.csv("my_new_file.csv")
# Run a regression
my_ols < lm(my_data$y ~ my_data$X1 + my_data$X2 + my_data$X3)
# View results
summarize(my_ols)