Just for the record.

I found this: http://www.rubyonrailsftw.com/lessons/28, after posting.

@unknownuser said:

If you get this error, you need to install 2 openSSL .dlls:

Get openssl
Download openssl windows binary from
http://gnuwin32.sourceforge.net/packages/openssl.htm

Unzip “libeay32.dll” to ruby\bin. Unzip “libssl32.dll” to ruby\bin and rename it to ssleay32.dll

In some systems, you need to put those dlls by force on windows/system32, or on ruby/bin, if you are not running SU's ruby interpreter.