Don’t do it! If you have a PC with Windows, don’t try to install Ruby on it. I have tried it many times, it is a terrible experience. A lot of other experienced developers think the same way. So, I don’t recommend you to install it on Windows. Realistically speaking, if you want to avoid headaches by development using Ruby, go with a UNIX based OS such as Linux or a Mac OS.
Alternative 1: Use Linux
You can create a virtual machine using
Virtual Box VMWare Player and have your entire Ruby development environment there. A more radical way would be to remove Windows from the computer and install Linux as the host environment, or maybe install as a dual boot.
Update 2016-06-08: After using Virtual Box for awhile to run Linux on my Windows environment, I decided to switch back to the VMWare Player. It runs much faster and solves some UI issues that I was having using Virtual Box.
If you are not sure which Linux distribution to use, I recommend Ubuntu MATE. It has all the benefits of an Ubuntu distribution but it uses MATE for the desktop environment, which is a fork of the old GNOME 2, which uses less memory.
Alternative 2: Buy a Mac
That would probably be the best alternative if you are serious on going into the Ruby development world. Having a Mac will let you run Windows as a virtual machine and you will also get all the benefits of a Linux development environment since the Mac OS is also UNIX based.
If you have this idea of learning Ruby, forget about trying to make it run on Windows. There are setups promising that they will make Ruby installation easy on Windows, like RubyInstaller, but they wont. That is a lie! You can try it, but I promise that you will have a big headache to get all the dependencies working for a real application.