With Windows 7 work well:

Step 1: DOWNLOAD

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1) Ruby => http://rubyforge.org/frs/download.php/74298/rubyinstaller-1.9.2-p180.exe
2) DevKit => http://github.com/downloads/oneclick/rubyinstaller/DevKit-tdm-32-4.5.1-20101214-1400-sfx.exe
3) ImageMagick => http://www.imagemagick.org/download/binaries/ImageMagick-6.6.7-9-Q16-windows-dll.exe
4) RMagick => https://github.com/rmagick/rmagick/zipball/master
5) type-windows.xml => http://www.imagemagick.org/source/type-windows.xml

Step 2: Install

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1) Ruby => c:\Ruby192
2) DevKit => c:\DevKit
3) ImageMagick => c:\ImageMagick-6.6.7-Q16 [WITH HEADER !!!!!!!]
3.a) Replace c:\ImageMagick-6.6.7-Q16\config\type-ghostscript.xml  with type-windows.xml
4) RMagick => c:\rmagick-rmagick

Step 3: Set Enviroment variable

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1) PATH = C:\Ruby192\bin;C:\ImageMagick-6.6.7-Q16
2) CPATH = C:\ImageMagick-6.6.7-Q16\include
3) LIBRARY_PATH = C:\ImageMagick-6.6.7-Q16\lib

Step 4: Configure DevKit
(from https://github.com/oneclick/rubyinstaller/wiki/Development-Kit)

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1) cd c:\DevKit
2) ruby dk.rb init
3) ruby dk.rb install
4) C:\DevKit\devkitvars.bat (THANKS TO Joachim  => http://www.waydotnet.com/blog/2010/02/rmagick-on-ruby-1-9-1-i386-mingw32-work-d/#comment-86618621)

Step 5: Compile RMagick

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1) run C:\DevKit\msys.bat
2) cd /c/rmagick-rmagick
3) ruby setup.rb
4) ruby setup.rb install

Step 6: Check

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1) ruby -v
        ruby 1.9.2p180 (2011-02-18) [i386-mingw32]
2) identify --version
    Version: ImageMagick 6.6.7-9 2011-02-21 Q16 http://www.imagemagick.org
	Copyright: Copyright (C) 1999-2011 ImageMagick Studio LLC
	Features: OpenMP

If you experience problems concerning “extconf.rb”, you should try:
http://phosphor-escence.blogspot.com/2010/12/if-you-fail-install-rmagick-on-mingw.html
from
http://www.waydotnet.com/blog/2010/02/rmagick-on-ruby-1-9-1-i386-mingw32-work-d/#comment-166014708

http://www.waydotnet.com/blog/2010/02/rmagick-on-ruby-1-9-1-i386-mingw32-work-d/#comment-317551623

In my case :
1) Install Ruby 1.9.1 (i386-mingw32) from http://www.rubyinstaller.org/, direct link

2) Install Development Kit (DevKit) from http://www.rubyinstaller.org/addons.html, direct link

3) Install ImageMagick 6.5.6-8-Q8 from http://www.imagemagick.org , direct link with header !!!!

4) Download Rmagick from source : http://github.com/rmagick/rmagick , direct link or git clone git://github.com/rmagick/rmagick.git

5) Replace !ImageMagick Path!\config\type-ghostscript.xml with

http://www.imagemagick.org/source/type-windows.xml

6) Set enviroment variable :
set CPATH=!ImageMagick Path!\include
set LIBRARY_PATH=!ImageMagick Path!\lib
set PATH=!ImageMagick Path!
[EDIT]
set PATH = !ruby_path!\bin
set PATH = !ruby_path!\devkit\msys\1.0.11\bin
set PATH = !ruby_path!\devkit\gcc\3.4.5\bin
[EDIT]
7) run “ruby setup.rb” [EDIT] from msys.bat ( !ruby_path!\devkit\msys\1.0.11\msys.bat ) [EDIT]

run “ruby setup.rb install” or “gem build *.gemspec” and “gem install *.gem”

9) Enjoy

identify –version
Version: ImageMagick 6.5.6-8 2009-10-03 Q8 OpenMP http://www.imagemagick.org
Copyright: Copyright (C) 1999-2009 ImageMagick Studio LLC

ruby -v
ruby 1.9.1p378 (2010-01-10 revision 26273) [i386-mingw32]

Many thanks to :
Rmagick staff => http://rmagick.rubyforge.org/
rogerdpack => http://betterlogic.com
Alexey Borzenkov => not have link, sorry
Luis Lavena => http://blog.mmediasys.com
RubyInstaller => http://www.rubyinstaller.org
RubyInstaller Group => http://groups.google.com/group/rubyinstaller
puts WaYdotNET => Carlo Bertini