Here’s my recipe for a painfree installation of Ruby on Windows.

1. Use the RubyInstaller from www.ruby-lang.org. I used Ruby 1.9.2-p0.
2. Install the Ruby DevKit by following the instructions in the Installation Overview. I used version DevKit-4.5.0-20100819-1536-sfx.

The DevKit is needed so that you can install gems that need to build native extensions. Without it when you try to gem install jekyll you will see an error like this:

ERROR: Error installing jekyll:
ERROR: Failed to build gem native extension.

'make' is not recognized as an internal or external command,
operable program or batch file.

After installing DevKit gem install jekyll will work like a champ.

Good luck!