I just tried to setup ROR from scratch. I followed the instructions on http://rubyonrails.org/download which is aptly titled to "Get Ruby On Rails in no time". However, I faced a couple of roadblocks along the way to a successful installation.
To make a long story short: I had to manually find and install the following dll's:
zlib.dll iconv.dll libssl32.dll/ssleay.dll/libeay32.dll
After copying those files to the ruby\bin directory I was finally able to create my first ROR app.
My system is WinXP 32bit/SP3.
Am I missing something, or is it just me having those issues?