Here's how: use Luis Lavena's pre built scripts to set it up for you (in this case to set it up for building a complete version of ruby), then tie in to the msys and mgit that it created for you.
download rubyinstaller's source, git clone git://github.com/oneclick/rubyinstaller.git
then build a version, "any version" of ruby with it, a la
rake # wait about 30 minutes :)
now set your path to "use" its newly downloaded, loaded with dependencies, versions of mingw and msys, a la build_env.bat contents (in my case):