If you did the setup neccessary to compile perl with MySQL and Oracle support (), you are well setup to do the same for ruby. Why this should be so hard I don't know: python produces very easy to install windows binaries, but if you want anything beyond the basics in perl and ruby you need to try and turn windows into Unix first. Sigh.
http://www.rubygarden.org/ruby?HowToBuildOnWindows explains the ruby build procedure. I'm really just adding instructions for getting the ruby dbi modules for mysql and oracle.
Make sure mingw and msys are first in your path.
Enter the mingw shell: sh
sh-2.04$ ./configure --prefix=/c/tools/myruby
sh-2.04$ make test
sh-2.04$ make install
Now, lets do ruby gems:
sh-2.04$ cd /tmp/rubygems
sh: cd: /tmp/rubygems: No such file or directory
sh-2.04$ cd /c/tmp
sh-2.04$ cd rubygems
sh-2.04$ export PATH=/c/tools/myruby/bin:$PATH
sh-2.04$ which ruby.exe
sh-2.04$ cd rubygems-0.8.11
sh-2.0.4$ unset RUBYOPT #If you have cygwin this might be set
sh-2.04$ ruby ./setup.rb
c:\tools\myruby\bin\ruby.exe: no such file to load -- ubygems (LoadError)