Estás tratando de integrar
$$P = \int\limits_0^R {\frac {rdr}{2π \sigma^2}} e^{\frac{-(r/\sigma)^2}{2}}$$
La derivada de
$$e^{\frac{-(r/\sigma)^2}{2}}$$ es
$$-\frac{r}{\sigma^2} \cdot e^{\frac{-(r/\sigma)^2}{2}}$$
Así que la integral de
$$\frac{r}{2π \sigma^2} e^{\frac{-(r/\sigma)^2}{2}}$$
es
$$-\frac{e^{\frac{-(r/\sigma)^2}{2}}} {2\pi}$$
que es bastante fácil de evaluar en $R$ y $0$ .
EDITAR:
Para revisar, si
$$f(r)=\frac{d}{dr}g(r)$$
entonces
$$\int\limits_a^b {f(r)}dr = g(b)-g(a)$$
En este caso
$$\frac{r}{2π \sigma^2} e^{\frac{-(r/\sigma)^2}{2}} = \frac{d}{dr}\left(-\frac{e^{\frac{-(r/\sigma)^2}{2}}} {2\pi}\right) = \frac{-1}{2\pi}\frac{d}{dr}\left({e^{\frac{-(r/\sigma)^2}{2}}}\right)$$
así que
$$P = \int\limits_0^1\frac{r dr}{2π \sigma^2} e^{\frac{-(r/\sigma)^2}{2}} = \frac{-1}{2\pi}\left({e^{\frac{-(1/\sigma)^2}{2}}}-{e^{\frac{-(0/\sigma)^2}{2}}}\right)$$
$$= \frac{-1}{2\pi}\left({e^{\frac{-(1/\sigma)^2}{2}}}-1\right)$$
$$= \frac{1}{2\pi}\left(1-{e^{\frac{-(1/\sigma)^2}{2}}}\right)$$