To compile your Ruby game into an executable on Windows, you can manually use Ocra on the command line. The new & awesome (but still experimental way) is to use Spooner's Releasy - see the documentation there.
In theory, ocra should be as simple as these two lines in a command prompt:
gem install ocra ocra my_ruby_game.rb
If you are using sound, you have to ship
fmod.dll too. Other gems like
ruby-opengl might require their own DLLs too. You can put them in a
lib subdirectory and then include them on the command line:
ocra my_ruby_game.rb lib\*
To let your game find the DLLs you have to change the PATH environment like this somewhere early in your game:
ENV['PATH'] = File.join(GAMEROOT,"lib") + ";" + ENV['PATH']
If you have any trouble, feel free to ask on the Gosu boards.