A few notes (mostly to self) about running the latest ruby 1.9.2 and rails 3.0.3 environments on Windows (yeah I know all the kool kidz have Mac OSX):
Ruby Installer for Windows is great: http://rubyinstaller.org/
Even better is the DevKit (available on http://rubyinstaller.org/downloads/) which gives you an MinGW compile environment for building native gems.
If you want to run in debug mode in NetBeans, then check out this patch: http://noteslog.com/post/netbeans-6-9-1-ruby-1-9-2-rails-3-0-0-debugging/
And finally if you get this error with sqlite:
no such file to load — sqlite3/sqlite3_native
then make sure you’ve got sqlite3.dll in your ruby/bin directory.