Also, you should know that Ruby is interpreted, what means you need an Interpreter installed in your system to run your programs. You can install it on your computer and run your script, but other computers does need to have Ruby installed to run it. Unluckily, Ruby doesn?t have any decent compiler (like it would need that...), and the most near thing we have from a .exe "distribution-able" file is rubyscript2exe library, but the file gets really big for simple programs like a DOS-esque hello world script. Ruby doesn?t have a good GUI to make good "windowed" programs, so most of the time you?ll have to stick with that annoying DOS box. If you have courage enough, you should take a look at the Tcl/Tk library, it should help you a bit on making "real" Window programs.
Well, as FireRaven stationed above, you can find Ruby
here.