While there are numerous write ups on this process (just Google "install ruby on rails"), I thought I'd include a brief description for blog completeness
1) Go to Ruby on Rails download page to Download and install Ruby. Enable RubyGems option. I used Windows 1.8.6-27 Release Candidate 2.
2) When finish, open a command prompt and install rails 2.3.3 :
>gem install rails
3) Install PostgrSQL driver:
>gem install postgres-pr
4) Create sample Rails application:
That's all there is to it. For a quick tutorial, I suggest going to http://guides.rubyonrails.org/ .