Hi Leonardo,
Thanks for the reply!
I am talking about the Redhat5 Linux.
These gems are quite confusing.
What is confusing about gems? It's pretty clear. If you have rubygems
installed correctly (which implies you have Ruby installed properly,
too), a simple:
gem install rails
Will give you all you need. Then, of course you'll need to install the
right gems for your application, but that has nothing to do with
Ruby/Rails or Gem itself, that's application dependent. Anyway, if you
properly specified the gems in your environment.rb, a simple rake
gems:install will do all the work for you.
I had to really struggle a lot to get
all the possible gems, but unfortunately ended up with ruby 1.8.8 (as
stated in my other post :: PLS HELP : backgroundrb problme). ruby1.8.8
is not yet out, unknowingly I have installed that.
Well, I don't know about RedHat package versioning, I have installed
1.8.7 on Arch Linux, and I think it is the last of the 1.8.x, but you
should check that.
Now I have many issues with my setup, I am kind of encountering one or
the other dependency error....
But on Windows, life is more easier
Let me put a doubt mark on that. I REALLY don't think that life on
Windows is much easier, you might know better Windows than Linux, so
life can be easier for you there. I could swear life is way easier on
Linux, after have worked on both platforms, but I don't wanna turn
this on a Linux vs Windows flame 
, we get everything in one single
package, no need to download the gems, ruby package separately.
Anyway, you have to go to the download site, download the installer,
run it and do a few more clicks. I only have to do
(pacman -S| apt-get install | watherver...) rubygems && gem install rails
Even now, I am googling out for the compatible ruby with my current
version of rails : 2.3.4.
I am still debating whether to downgrade my ruby version to 1.8.7,
meaning I have to re-install the suitable gems 
My suggestion is you downgrade ruby to a widely known stable version
like 1.8.7, and install rubygems from your package manager (RPM,
either from console or from any fancy GUI, I really don't know RH, I
only tried it a few years ago)
After that, install rails via gem (which will install all it's dependencies)
Everything after these two steps, is application dependent.