You could manually install the gem on the machine as the message tells you to, but since you're asking how to bundle the gem, that's probably not what you're looking for.
To bundle the Rails gems run the following on a machine that has the gems installed (probably your development machine):
rake rails:freeze:gems
This will unpack the Rails gems into vendor/rails. Then it's a matter of adding and commiting the gems.
To freeze/vendor all the gems required by your application (as defined in environment.rb):
rake gems:unpack:dependencies
If you use gems like Nokogiri that contains code which needs to be compiled for the environment it's running on, you have to a little more. After vendoring it, run
rake gems:build
and that should do it for you. Note, this last step needs to be run on the machine where the application needs to be run - in this case you can't just rely on doing it locally and committing your changes like you can with pure Ruby gems.
See http://reborg.tumblr.com/post/99668398/rails-gems-unpack-native for more details.