After installing Ruby, download and install the Ruby Development Kit. Extract the content of the archive to a directory such as C:\RubyDevKit, and then run the initialize script followed by the installation:
> cd C:\RubyDevKit > ruby dk.rb init > ruby dk.rb install
When running the initialize, if you encounter the error reported here, apply the recommended solution to change the encoding to 1252 so the script can work:
> chcp 1252 > ruby dk.rb init > ruby dk.rb install
Now you can install the Jekyll gem using RubyGems:
> gem install jekyll
This might take a while due to the number of dependencies.