Probably the easies way to set up ruby on windows is to go to http://rubyinstaller.org/ and from there donwload an executable that you will install.
You don't have to set almost anything, but there will be one important window. It will have a check box saying Add ruby executable to your PATH. Confirm that it is checked, if not check it or else you won't be able to run ruby and will have to set the PATH variable on your own.
Then just go next until it installs and thats that.