To use cake on Windows, follow these steps (cygwin is not necessary):
C:\Program Files\Java\jdk1.6.0_21\binto your
PATHenvironment variable 2
gem install win32-process -v 0.6.6
gem install cake
1: Cake doesn't yet work with Ruby 1.9 on Windows because win32/process segfaults in 1.9 on Windows.
2: Or the appropriate path for your system. Here are more detailed instructions.