Installing Cygwin with Ruby is easy enough.  Avoid installing Ruby in Windows as well because it results in a mulch of confusion further down the line.

Gems is pure ruby, so not that hard to install from within Cygwin:
  * Download gems from RubyForge: [[http://rubyforge.org/projects/rubygems/]] (rubygems-x.x.x.tgz)
  * In the unpacked directory, run:

<code ruby>
ruby setup.rb install
gem update --system
</code>

(Note: recent versions of rubygems won't install with older versions of ruby.)