If you're new to gui programming, Shoes is a fun way to pick up some of the concepts as well as learn some ruby along the way. It's primarily a learning tool however, so you'll need to eventually pick up Visual Studio (or something similar) when you're ready to develop a functional windows app.
Edit: I see you've done some programming in linux from one of your comments, so this might be a bit too rudimentary for you. For anyone new to programming and wanting to try their hand at a windows program, Shoes is worth looking at. The free version of Visual Studio is definitely what you'll want to check out, or alternatively you could continue to work in Eclipse on windows, as you're already familiar with it.