If you want the console to preload assemblies, you'd have to use iirb and not ir (practically the same with a slightly different UI). This is, by the way, the tool that rails script/console uses.
Preloading assemblies (or ruby modules) is done via the -r switch. For example, if you'd like to preload "MyAssembly.dll", run the next command:
iirb -r "MyAssembly.dll"
If you want to do several different operations like loading several assemblies and initializing some variables, I'd recommend writing an rb file that does all that. For example:
require "MyAssembly.dll"
include MyNamespace
my_variable = "Hello!"
...
Assuming this code file is named "init.rb", then call the iirb tool as follows:
iirb -r "init.rb"
You can then create a batch file that runs this command line to ease its use.
P.S. you can use the --simple-prompt switch as well to get the same "UI" of the ir.exe console:
iirb -r "init.rb" --simple-prompt