I install my own windows server 2003, what should I install?
If you have any choice then don't use Windows for RoR. Using a Linux server, Ubuntu for example, will cause much less grief.
Colin
The question here is what do you want to do? Web server for
development? production? what would you serve? Only RoR?
Anyway, I'd agree with Colin, if you have the possibility, use a Linux
distro, if you don't know any, learn one. Ubuntu is a good start these
days, but there's plenty of options out there.
If you don't like Linux, go for a Mac if you can. Anyway, if you must
stuck to Windows for any reasons, even personal preference, I think
Webrick would work for development. If you want to deploy an RoR
application (or other than .NET) for production on Windows, you might
be nuts. 
Cheers!