Hi Derick,
You need to pick between the MinGW compiler or the Microsoft compiler. I use the mingw compiler because damn near every one else does - except some of the Ruby developers. If you are using MinGW then decide if you want the MSYS2 build tools (I do) so you install and configure that. Now your Linux/Ruby experience can guide you. Just install the packages/libraries with pacman and configure/build ruby. There's plenty of web help for MSYS2 and pacman. Note: if you install Ruby with rubyinstaller - you get all of the above. You can build ruby the RubyInstaller way or just do it from the msys2 commandline. The rubies will be slightly different - which is best depends on what you want to do.
--Cecil
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