I downloaded Ruby DBI 0.1.1 from Rubyforge.
I extracted it into a sub-folder in My Documents where I store setup
files.

I ran the following:

ruby setup.rb config
ruby setup.rb install

however, this fails and I see this:

C:\Documents and Settings\mrussell\My Documents\My
Setups\Ruby\DBI\ruby-dbi>ruby
 setup.rb setup
entering setup phase...
setting #! line to "#!c:/ruby/bin/ruby"
setting #! line to "#!c:/ruby/bin/ruby"
c:/ruby/bin/ruby extconf.rb
checking for sqlite_open() in sqlite.lib... no
*** extconf.rb failed ***
Could not create Makefile due to some reason, probably lack of
necessary libraries and/or headers.  Check the mkmf.log file for more
details.  You may need configuration options.

Provided configuration options:
        --with-opt-dir
        --without-opt-dir
        --with-opt-include
        --without-opt-include=${opt-dir}/include
        --with-opt-lib
        --without-opt-lib=${opt-dir}/lib
        --with-make-prog
        --srcdir=.
        --curdir
        --ruby=c:/ruby/bin/ruby
        --with-sqlite-dir
        --without-sqlite-dir
        --with-sqlite-include
        --without-sqlite-include=${sqlite-dir}/include
        --with-sqlite-lib
        --without-sqlite-lib=${sqlite-dir}/lib
        --with-sqlitelib
        --without-sqlitelib
make
setup failed
'system make' failed
try "ruby setup.rb --help" for usage
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