Delphi adds {$R *.res} to your .dpr file to link the .res file that it generates into your application. E.g. if you save your project as MyProject.dpr, Delphi will create a file MyProject.res that contains your application icon and version information that you specify in Project Options in Delphi. Without this .res file, your .exe won't have an icon or version info.
If you get a duplicate resource warning, you probably have another {$R} compiler directive elsewhere in your code that also links in MyProject.res. It could be a duplicate {$R *.res} in your .dpr file, or a {$R MyProject.res} in another .pas file. Delete the other compiler directive instead of the one that Delphi generates automatically, and your project will compile just fine.