I would recommend just using the windows installer found on the official Rails web site:
You may want to just start off using the Rails defaults. Rails comes with with the WEBrick web server, so you can just use that. No configuration needed. You can also just install SQLite and use that as the database. It's definitely not as sophisticated as MySQL, but if you just want to learn Ruby on Rails, SQLite is good enough for that purpose.
You can download the precompiled binary here:
I then use the Firefox extension SQLite Manager to manage the database (it's as simple as just opening up the development.sqlite DB file)
I tried to work with Ruby on Rails on Windows for about 3 years, but I ended up using VirtualBox to set up an Ubuntu installation for all my Rails work, and then bought a MacBook Air. The reason is that there's not as much documentation when something isn't working on Windows. In addition, gems sometimes have dependencies for libraries or software that just aren't available for Windows.
Hope this helps a bit.