I've gone that route in the past, and truth is it's painful to run rails on windows (albeit not impossible). The main issue I ran into was that some gems (libraries) rely on native extensions that are not available on Windows.
HOWEVER, there's still a way which works pretty well, which involves running rails from a Virtual Machine (e.g. Ubuntu) to which to ssh into, while coding from windows. Take a look at http://tinyurl.com/b8w4exm (using vagrant might be easier than this tutorial).
I might add that for learning, Windows is pretty good (now... it was not used to be this way, haha) - though the problem you mentioned consists and it is better to switch to Linux after a while (when you need those gems).
HOWEVER, there's still a way which works pretty well, which involves running rails from a Virtual Machine (e.g. Ubuntu) to which to ssh into, while coding from windows. Take a look at http://tinyurl.com/b8w4exm (using vagrant might be easier than this tutorial).