error trying to install rubygems on Ubuntu

I downloaded and unpacked rubygems-1.3.4 and when I try to execute
setup I get the following message.

sudo ruby setup.rb
./lib/rubygems.rb:11:in `require': no such file to load -- etc
(LoadError)
  from ./lib/rubygems.rb:11
  from setup.rb:24:in `require'
  from setup.rb:24

can anyone help me resolve this?