When I Googled for building Ruby extensions for Windows, I found a lot of old (very old) information. I found some good info at this web site. What follows is a record of my attempts to follow this guidance.

1. Download and install Visual C++ 2005 Express Edition (free)
2. Download and install the Platform SDK (ISO Edition) from Microsoft.
   1. I installed none of the 64–bit stuff — mostly just the 32–bit Intel core SDK
3. Edit $RUBY_HOME/lib/ruby/1.8/i386-mswin32/config.h and delete the “#error MSC version unmatch” line
4. Click your way to:
   • Start
   • All Programs
   • Microsoft Platform SDK…
   • Open Build Environment Window
   • Windows XP 32–bit Build Environment
   • Set Windows XP…(Retail)
5. cd "C:\Program Files\Microsoft Visual Studio 8\VC\bin"
   • The quotes are important.
6. vcvars32.bat
7. cd C:\temp\guitest\ext\cguitest
   • I'm building the guitest extension
8. ruby extconf.rb
9. nmake
10. mt.exe -manifest my_test.so.manifest -outputresource:my_test.so;2
    • Copy and paste the command above. You need it all from the 'mt' to the ';2'
11. nmake install
12. cd \temp\guitest
13. ruby install.rb install
14. irb
    • require 'win32/guitest'
15. Happiness