The Windows ruby-web installer is available from the downloads page at http://rubyforge.org/frs/?group_id=873. This installs ruby-web and for IIS, Apache 1.x, and Apache 2.x, it also configures the web server to run .rb and .rhtml scripts using the CGI version of ruby-web.
First, install your selected HTTP (web) server on your system, and make sure that it works.
The installation wizard gathers enough information to set up the ruby-web, and configure certain web servers to use ruby-web as a cgi.
Once the installation has completed, the installer will restart the server, and you should be ready to just start using ruby-web.