[Note: parts of this message were removed to make it a legal post.]
Here is how I got this partially working for me. By partially, it correctly
makes some gems but for others, it can't compile files because of missing
headers (sqlite, sqlite3). It automatically tries to make the file instead
of trying to use the ones compiled for mswin32 platform. I don't know how to
change this
Copy and install the devkit as well
http://rubyinstaller.org/downloads/devkit-20090411.7z
put this under the ruby directory
c:\ruby\devkit
add the path for devkit binaries to PATH
set PATH=C:/ruby/devkit/gcc/3.4.5/bin; %PATH%
make sure the fstab in msys is correct
c:/ruby-mingw/devkit/msys/1.0.11/etc/fstab
mine is
c:/ruby/devkit/gcc/3.4.5 /mingw
C:/ruby/devkit/msys/1.0.11/usr/local /usr/local