I am running Windows 8 and I received the same error message as that reported by Tim Escher.
I was also following the printed book. I have the second edition, and on page 21 the book (twice, actually) specifies version '2.0.0' for jquery-rails. When I ran "bundle install" (after editing the Gemfile for first_app) I received this error message:
"Could not find gem 'jquery-rails (= 2.0.0) x86-mingw32' in the gems available on this machine."
But when I changed the jquery-rails version to 2.0.2 everything worked fine.