I'm looking to run Redmine, a Ruby on Rails app, on a vps windows box. The only thing I can really think of is running a virtual linux machine and hosting it from there. If that is my only option, am I going to run into problems running a virtual machine inside of a virtual machine?
Also, this will be an internal app, so performance isn't my number once concern.
You can install SQLite and a Rails server like Mongrel on a Windows machine. I used Aptana to run a development environment, but I'm sure that there are better alternatives that don't require the IDE to be open to run. But this proves it is possible.
Redmine ran fine on our Windows build server from the command line, sans IDE, using Mongrel and SQLite. Granted, ours isn't a VPS, but at any rate Linux isn't required for this app.
Try using a Rails distribution like: http://instantrails.rubyforge.org/wiki/wiki.pl
One download install for rails+ruby+mysql on Windows.
I had good luck in the past with InstantRails, but I'm not sure how up-to-date it is now, as the project has changed hands several times.
You might also try ruby stack or flash rails, though I've not used either personally.
Windows is not the usual place to deploy production Rails apps, but there are people who do it. Mongrel was originally written to give better deployment options for Windows. As it turned out the UNIX deployment options weren't that good either. :)
Start with the Ruby One Click installer so you have a sane installation of ruby and rubygems.
From there, you install the rails gem and the gem for your database like you normally would. Most if not all of the databases have Windows gems.
Make sure to install mongrel_service to be able to control each mongrel like a normal windows service. See mongrel_rails service::install -h for details.
Once you have your mongrels set up, it's similar to a UNIX deployment. You set up a reverse proxy, such as Apache2 and you're set.
You might run into some gems (such as BackgroundRB) that will not work under Windows because they have C code that either rely on UNIX libraries or expect a UNIX-like build system at installation time. However, all of the really important Rails gems, such as Mongrel and the database adapters, have gems with pre-built binaries available, so you'll be fine.
Just grab the Bitnami RedMine stack. Or the Bitnami Ruby on Rails stack.
The BitNami Redmine Stack is a free, up to date Windows installer package for Redmine on Windows, Linux, OS X... give it a try. You can also download a VMWare Virtual Machine as well