I use Sinatra + Thin on Windows, sometimes behind Apache or Nginx as a reverse proxy (to speed up the flow of static files and create a pool of 2-4 server instances). The speed is not as good as on Ubuntu with similar (or less) hardware, but at work I have to use certain servers dedicated to me.
To use Thin with Sinatra, just install Thin and Sinatra will use it. If you need further help configuring Apache or Nginx, write more questions (after searching the Internet, of course).
Phrogz
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