Update: Rails 3 is now available. The instructions below should also work for the final release.
Update 2: MySQL2 gem (starting with version 0.2.5) officially works for Windows. See gist.
This week the Ruby team released the most anticipated Ruby version, 1.9.2, and yesterday, the RubyInstaller team released 1.9.2 for Windows. Kudos to both teams for the hard work and dedication.
Installing Ruby using RubyInstaller should be straight forward. The installer automatically defaults the path to C:\Ruby192. If you have used DevKit in the past, you’ll notice this DevKit requires a different way to install. I highly recommend following the instructions here. You’ll need to remove the old DevKit install for other Ruby installations and install the new DevKit using the dk.rb script.
Install Rails 3 using the –pre parameter. Update: –pre is no longer necessary now that Rails 3 is official
c:\devkit>gem install rails --pre
Temporarily enhancing PATH to include DevKit...
Successfully installed activesupport-3.0.0.rc
Successfully installed builder-2.1.2
Successfully installed i18n-0.4.1
Successfully installed activemodel-3.0.0.rc
Successfully installed rack-1.2.1
Successfully installed rack-test-0.5.4
Successfully installed rack-mount-0.6.11
Successfully installed tzinfo-0.3.23
Successfully installed abstract-1.0.0
Successfully installed erubis-2.6.6
Successfully installed actionpack-3.0.0.rc
Successfully installed arel-0.4.0
Successfully installed activerecord-3.0.0.rc
Successfully installed activeresource-3.0.0.rc
Successfully installed mime-types-1.16
Successfully installed polyglot-0.3.1
Successfully installed treetop-1.4.8
Successfully installed mail-2.2.5
Successfully installed actionmailer-3.0.0.rc
Successfully installed thor-0.14.0
Successfully installed railties-3.0.0.rc
Successfully installed bundler-1.0.0.rc.5
Successfully installed rails-3.0.0.rc
23 gems installed
If you read my previous Rails 3 post, we had to install a lot of the dependencies separately. The latest Rails gem seems to take care of it. Also, RubyInstaller comes with Rake, so you do not need to install it.
Next up is installing SQLite or MySQL (your preference).
Note: The official Rails blog mentions support for the MySQL2 gem which takes care of the MySQL encoding issues on Ruby 1.9.2. At the time of this writing, I could not install MySQL2 gem on my Windows box, but the gem author seems to be fully aware of the situation. In the meantime you should be able to use SQLite or MySQL with the mysql gem.
Let’s install SQLite:
c:\devkit>gem install sqlite3-ruby
Temporarily enhancing PATH to include DevKit...
=============================================================================
You've installed the binary version of sqlite3-ruby.
It was built using SQLite3 version 3.6.23.1.
It's recommended to use the exact same version to avoid potential issues.
At the time of building this gem, the necessary DLL files where available
in the following download:
http://www.sqlite.org/sqlitedll-3_6_23_1.zip
You can put the sqlite3.dll available in this package in your Ruby bin
directory, for example C:\Ruby\bin
=============================================================================
Successfully installed sqlite3-ruby-1.3.1-x86-mingw32
1 gem installed
The instructions above says to use SQLite version 3.6.23.1 and provides a link to the dll. I would also get the exe which is available here. Place sqlite3.dll and sqlite3.exe in C:\Ruby192\bin or a general bin directory in the PATH (thanks for the correction, Luis!).
Now let’s create a new Rails app. Note, the new command to create the app:
E:\p\rails>rails new rails3rc --database=sqlite3
create
create README
create Rakefile
create config.ru
create .gitignore
create Gemfile
create app
create app/controllers/application_controller.rb
create app/helpers/application_helper.rb
create app/views/layouts/application.html.erb
create app/mailers
create app/models
create config
create config/routes.rb
create config/application.rb
create config/environment.rb
create config/environments
create config/environments/development.rb
create config/environments/production.rb
create config/environments/test.rb
create config/initializers
create config/initializers/backtrace_silencers.rb
create config/initializers/inflections.rb
create config/initializers/mime_types.rb
create config/initializers/secret_token.rb
create config/initializers/session_store.rb
create config/locales
create config/locales/en.yml
create config/boot.rb
create config/database.yml
create db
create db/seeds.rb
create doc
create doc/README_FOR_APP
create lib
create lib/tasks
create lib/tasks/.gitkeep
create log
create log/server.log
create log/production.log
create log/development.log
create log/test.log
create public
create public/404.html
create public/422.html
create public/500.html
create public/favicon.ico
create public/index.html
create public/robots.txt
create public/images
create public/images/rails.png
create public/stylesheets
create public/stylesheets/.gitkeep
create public/javascripts
create public/javascripts/application.js
create public/javascripts/controls.js
create public/javascripts/dragdrop.js
create public/javascripts/effects.js
create public/javascripts/prototype.js
create public/javascripts/rails.js
create script
create script/rails
create test
create test/performance/browsing_test.rb
create test/test_helper.rb
create test/fixtures
create test/functional
create test/integration
create test/unit
create tmp
create tmp/sessions
create tmp/sockets
create tmp/cache
create tmp/pids
create vendor/plugins
create vendor/plugins/.gitkeep
Start up the local server by running this command:
E:\p\rails\rails3rc>rails server
=> Booting WEBrick
=> Rails 3.0.0.rc application starting in development on http://0.0.0.0:3000
=> Call with -d to detach
=> Ctrl-C to shutdown server
[2010-08-21 11:48:18] INFO WEBrick 1.3.1
[2010-08-21 11:48:18] INFO ruby 1.9.2 (2010-08-18) [i386-mingw32]
[2010-08-21 11:48:18] INFO WEBrick::HTTPServer#start: pid=4296 port=3000
Now you should see that familiar Welcome aboard page on http://localhost:3000/.

Now follow the Rails 3 Guide to build yourself a Rails 3 app!