Earlier tonight I installed JRuby on a Windows XP system, and it was about as easy as anything I've installed. Here were the steps on my computer:

• Download JRuby. It currently comes as a file that is tar'd and gzip'd.
• I'm a little slow, so I tend to run gunzip and tar separately. First I run gunzip like this: gunzip jruby-java4-bin-0.9.2.tar.gz. This gives me a tar file named jruby-java4-bin-0.9.2.tar
• I unpacked that file with this command: tar xvf jruby-java4-bin-0.9.2.tar
• This gave me a directory named jruby-0.9.2
• I moved this directory to the root of my C: drive, so it is located at C:\jruby-0.9.2
• I right-clicked on "My Computer", chose "Properties", then clicked the "Advanced" tab, then clicked the "Environment Variables" button
• I created a new environment variable named JRUBY_HOME and pointed it to C:\jruby-0.9.2
• I modified the PATH environment variable to point to C:\jruby-0.9.2\bin

That's all I had to do. Then I opened a new DOS/cmd window -- as far as I know you have to do this whenever you change an environment variable as I've done it -- and then ran a sample program given in the JRuby tutorial, and everything just worked. :) Many thanks to the JRuby people for making this a simple installation.