Check your ruby version: Start - Run - type in cmd to open a windows console
Type in ruby -v
You will get something like that: ruby 2.0.0p353 (2013-11-22) [i386-mingw32]
For Ruby 2.4 or later, run the extra installation at the end to install the DevelopmentKit. If you forgot to do that, run ridk install in your windows console to install it.
For earlier versions:
Download and install DevelopmentKit from the same download page as Ruby Installer. Choose an ?exe file corresponding to your environment (32 bits or 64 bits and working with your version of Ruby).
After installing DevelopmentKit you can install all needed gems by just running from the command prompt (windows console or terminal): gem install {gem name}. For example, to install rails, just run gem install rails.