Japanese Ruby Entry Package for Win32 had been give way to http://homepage1.nifty.com/arima/ruby/, Please update your bookmark. Some of my old information, you can still see some at http://users.goo.ne.jp/s-sugi/Ruby-j/.
open MS-DOS prompt. (or, command prompt for Windows 2000)
gzip -d ruby-1.6.2-20001104-i386-cygwin.tar.gz
tar xpf ruby-1.6.2-20001104-i386-cygwin.tar
You will see "Permission denied" and many "Could not change access and modification times", but it's a limitation of Windows filesystem, so never mind.
Expect you already run Cygwin, you also need cygwin1.dll to ruby work.
move \work\cygwin1-1.1.4.dll cygwin1.dll
move \work\usr \usr
And, set command path to \usr\local\bin.