First time rails install, help with gems

Hello all,
    I just installed ruby enterprise edition with rails. I down loaded the
latest version of gems and ran
[CODE]dan@dev:~/initial_install/rubygems-1.3.5$ sudo ruby setup.rb[/code]
Which returned:
RubyGems 1.3.5 installed
./lib/rubygems/custom_require.rb:31:in `gem_original_require': no such file
to load -- rdoc/rdoc (LoadError)
        from ./lib/rubygems/custom_require.rb:31:in `require'
        from ./lib/rubygems/commands/setup_command.rb:352:in `run_rdoc'
        from ./lib/rubygems/commands/setup_command.rb:247:in `install_rdoc'
        from ./lib/rubygems/commands/setup_command.rb:120:in `execute'
        from ./lib/rubygems/command.rb:257:in `invoke'
        from ./lib/rubygems/command_manager.rb:132:in `process_args'
        from ./lib/rubygems/command_manager.rb:102:in `run'
        from ./lib/rubygems/gem_runner.rb:58:in `run'
        from setup.rb:35 [/CODE]

Then I tried to install the mysql gem and got the following out put:
[CODE]dan@dev:~/initial_install/rubygems-1.3.5$ gem install mysql
WARNING: Installing to ~/.gem since /usr/lib/ruby/gems/1.8 and
          /usr/bin aren't both writable.
WARNING: You don't have /home/dan/.gem/ruby/1.8/bin in your PATH,
          gem executables will not run.
Building native extensions. This could take a while...
ERROR: Error installing mysql:
        ERROR: Failed to build gem native extension.

/usr/bin/ruby1.8 extconf.rb
extconf.rb:10:in `require': no such file to load -- mkmf (LoadError)
        from extconf.rb:10

Gem files will remain installed in /home/dan/.gem/ruby/1.8/gems/mysql-2.8.1
for inspection.
Results logged to

What an I missing here?

   As you want to install ruby on rails on linux system. so refer this

can you tell the Os you using on which you wanna intsall it