See http://www.therealvan.com/pn/?p=186 for installing: Rails 3.0.3 & MySQL on Windows 7.
After installing those, and once work begins, chances are an IDE w/ line-debugging capabilities are needed.
Aptana Studio 3 seems to be the best (free) IDE right now:
http://www.aptana.com/products/studio3/download.html
But to get that working fully for debugging, a gem needs to be installed:
gem install ruby-debug-ide
Otherwise, the “Debug Server” option will frustratingly do nothing in the IDE.