Today I finally got Nokigiri working.
Summarizing everything that I had to do:
1- First attempt with LibXML failed, parsing process was halting inside the C code of libxml-ruby.
2- Switched to Nokigiri project. It was as fast as libxml and apparently, had less dependencies.
3- First attempt with Nokigiri failed. I couldn't find ilibgcj_s.dll
4- Second attempt with libxml-ruby: Failed... I wanted to debug the dll but that was too difficult to be achieved. Also I posted on this forum asking for help.
5- Still trying to solve the problem, I found out http://www.rubyinstaller.org on some random ruby-forum and got rubygems working under windows (I had never achieved that before).
6- Tried installing libxml the regular way: "gem install libxml-ruby"
7- Ran into a problem while compiling some of libxml-ruby`s dll.
8- Tried installing nokogiri the regular way: "gem install nokogiri"
9- Successfully installed nokogiri.
10- Build some ruby script to run over Ruby, using Nokogiri.
11- Ran ProcessMonitor (http://technet.microsoft.com/en-us/sysinternals/bb896645.aspx) and ProcessExplorer (http://technet.microsoft.com/en-us/sysinternals/bb896653.aspx) while using nokogiri objects over Ruby, so I could see what dlls it required.
11.2- Another good tool for tracing DLL dependencies is Dependency Viewer (http://www.foxprogramming.co.uk/freetools.html)
12- Copied these dlls to Sketchup folder and msvcrt-ruby18.dll from Ruby/bin. Sketchup folder is equivalent to Ruby/bin for Sketchup's Ruby interpreter. (This is a guess)
13- Put everything about Nokogiri on Sketchup's Plugin Folder (so it was loaded together with sketchup)
14- Started Sketchup.
15- Got lots of errors, due to dependencies. These errors were caused because Sketchup's Ruby Interpreter is not fully equipped with everything Ruby's own interpreter has.
16- Through the error messages of Sketchup, copied the rest of the .rb's and .so's needed for Nokogiri (that were installed by default on a regular Ruby installation).
17- No more errors. Successfully instantiated a Nokogiri::XML::Document object.
18- Rewrote my code so they would use Nokogiri instead of REXML.
My old parser, using REXML, was about 3 times slower than the new one using Nokogiri.
My library took 30-40 seconds to load with REXML and it takes 11 seconds to load with Nokogiri.
These weren't scientifically tests though. But they were good enough, and I measured it on at least 5 different computers.
Hope this helps anyone.