While the pik gem is no longer supported, the pik from here is still the best way to manage multiple ruby versions in windows, (Please someone write another. Or talk with Gordon Thiesfeld so that someone else can handle by this.)
Setting up pik painful (you need to manually install the ruby versions required by devkit and then tell pik to use them).
If you do not need several ruby versions, I recommend that you use the excellent installers from here and use gem install rails to get windows fixing ruby rails.
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