inspired by a question from JD, here's the instructions:
Looks like the only way I know of is (assuming ruby 1.9 with devkit )
1) download mysql 5.0.x windows "without installer"
2) unzip, put/rename it to c:\mysql
3) download mysql 2.8.1 binary from tmtm http://www.tmtm.org/en/mysql/ruby/
4) edit extconf so that anywhere it says mswin32 it now says mswin32|mingw
4a) make sure that mysql's bin are *not* in your path [might not be ncessary, but just in case]
5) run ruby extconf.rb -- --with-mysql-include=c:/mysql/include --with-mysql-lib=c:/mysql/lib/opt
6) run make, then run make install
7) make sure libmysql.dll is in your path or in current directory 8) run ruby -e 'require "mysql"' -- should work.