I downloaded Rails 3 this weekend. I've used Rails 2 before, but this
will be my first Rails 3 project.

I'm not sure if it matters, but I was using a Win7 machine which did
not previously have Ruby installed.

The instructions here http://rubyonrails.org/download say:

1. Download + install Ruby.
2. Download + install gems.
3. gem install rails.

(1) worked fine. I chose Ruby 1.9.2. (2) failed, perhaps because
current Ruby already has gems. Once I figured out that it didn't
matter that (2) didn't work, (3) worked fine.

As this is somewhat confusing, I'd like to suggest that
http://rubyonrails.org/download be updated to note that installing
gems is unnecessary with current Ruby.

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