Turn on Tools | Options | Debugging + General | Enable .NET Framework source stepping.
Go to Declaration of the method you want to step through. R# should automagically load the source file from Microsoft's source server.
Copy the full path of the File R# pulled down.
Put a breakpoint in your code on the method you want to step into.
Run the app.
When the breakpoint is hit, step into. Visual Studio should prompt you for the location to the source file. Navigate to the path copied previously and wha-lah, should be good to go.
NOTE: If you go through these steps but then cancel out of the Visual Studio dialog, VS won't prompt you for the file location on subsequent runs. Deleting the .suo file for your solution should rectify that.