Nandakumar,
Yes, I have seen this (and other) problem before with One-Click. I wasn't able to see all of your cygwin session, however. I don't know how much ruby development you are planning to do. If you are beyond the investigation phase, it will probably be useful to build ruby from source:
http://ftp.ruby-lang.org/pub/ruby/1.8/ruby-1.8.6-p286.tar.gzWith the proper ruby installation, and FANN built, the ruby-fann gem should install without a hitch.
Regards,
-Steven