Most likely, your Mac works with Ruby 1.8, and Windows works with Ruby 1.9. Starting from 1.9, the default boot path no longer includes the current directory. A common practice is to add this to the top of your ruby file before your requirements.
$LOAD_PATH.unshift File.dirname(__FILE__) require 'my_file.rb'
You can also use the abbreviated $: instead of $LOAD_PATH :
$:.unshift File.dirname(__FILE__)
Another alternative is to add a boot path on the command line:
ruby -I. my_ruby_file.rb
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