Its a pain to install ruby devkit especially so I have created a git repo of my local Ruby 1.9.2 and Devkit so you can just clone or download this repo and follow how to upgrade from existing or run multiple ruby versions on your local machine.
Download / Clone ruby-kit
Update enviroment variable path to the new path were you Downloaded / Cloned ruby-kit should be like (C:\path to ruby folder\Ruby192\bin) and (C:\path to ruby folder\DevKit\bin).
Close enviroment variable window and open your commandline type in ruby -v you should get ruby 1.9.2p290 (2011-07-09) [i386-mingw32]