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:

ruby setup.rb install
gem update --system

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