RubyScript2Exe - a Ruby Script to .exe Converter
Official webpage
It basically packs the ruby VM, the needed libraries and your app into one tasty, tasty executable file for win32.
In my case, an app which downloads mail attachments via IMAP and does some xml parsing is < 2 MB in filesize
1. gem install rubyscript2exe
2. rubyscript2exe my_app.rb
3. ?
4. profit!