Checkout the following resources for help:
http://accidentaltechnologist.com/ruby-on-rails/running-rails-3-on-windows/
http://accidentaltechnologist.com/ruby-on-rails/railsinstaller-is-instant-rails-evolved/
http://accidentaltechnologist.com/?s=rails
http://rubyinstaller.org/
http://sqlite.org/download.html (Go to precompiled binaries for Windows, download slitedll-3_7_3.zip , unzip it, copy the sqlite3. dll to Ruby bin directory, for example
c:\Ruby192\bin)
If you still need help, I recommend "Meet Rails 3 Part I" screencast by Peepcode.
