The best way to start is using the one-click installer. I advise using the older installer ( http://rubyforge.org/frs/download.php/47082/ruby186-27_rc2.exe ) instead of the new RubyInstaller, because the latter is still a bit immature. While installing select rubygems support and the add ruby to the PATH option, to ease access to ruby binaries.
After installing (takes a while), fire a console, and install rails (and a database connector, like sqlite3) using the commands
gem install rails
gem install sqlite3-ruby –version=1.2.3
(the 1.2.3 version of the sqlite3 gem will work on windows correctly)
As you have guessed correctly gems are modules to ruby, and ruby on rails is one of these modules.
Now you have installed both ruby and rails, fire up a console, and type
rails applicationname
to create your first rails application. From here on read the tutorials and documentations.
Rails doesn't really need an IDE for development, you can use any decent text editor, but there are rails plugins for IDEs like eclipse, and editors like vim or emacs.