At the time of this post, Ruby on Rails required version 1.8.2 of Ruby, which is not the most current version. Installation of a Ruby on Rails development system is easiest if you download dependencies from the left column of the RubyOnRails download page.

First, download Ruby 1.8.2-15 (stable). Install without SciTE and FreeRIDE. Installation directory c:\ruby\1.8.2-15.

Second, download RubyGems (most current version). Unzip the distribution and run ruby on setup.rb. This will install the gems libraries as well as the gem command.

Third, install rails. Run the command gem install rails, but do not run it in a Cygwin window. You'll be prompted to install all required dependencies. Say yes.