To use the Tutorials for Gosu, you need Ruby.
Ruby on Windows can be installed with the
Ruby Installer. That is the simplest way to get a full install of Ruby on Windows.
If you just want to try the tutorials and gosu games, then you can use
KidsRuby. This is a self contained Ruby installation, with an editor. It is a fast way to get going.
It already has gosu installed, so the tutorials should work. When you save the code, just make sure you place the images in the same folder and everything should work.
Hope this helps.