I would agree that binary distribution is your best bet for Ruby on Windows, however, as Guiche said, you can change it a bit. If in this case I build it from the source using Cygwin . This will give you a familiar set of tools for creating software from a source.
However, the next thread on the Ruby forum seems to be very active in discussing Ruby creation in Windows using Microsoft Visual C ++ toolkit with some other .NET.
Good luck
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