In this paper, an interactive teaching approach to introduce the concept of sampling distributions using the statistical software program, R, is shown. One advantage of this approach is that the program R is freely available via the internet. Instructors can easily demonstrate concepts in class, outfit entire computer labs, and/or assign the activity for students at home. Another benefit is that the students build their understanding of the concept in stages and are not overwhelmed by massive amounts of information all at once. By modifying the demonstrated approach, they can gradually build a conceptual foundation for sampling distributions interactively. The approach is detailed, with an empirical study considering its use in the classroom.