I am having trouble getting rubyscript2exe to work with ruby/SDL.
Using the cdrom sample:

# source start
require 'sdl'

SDL.init( SDL::INIT_CDROM )

print SDL::CD.numDrive,"\n"
print SDL::CD.indexName(0),"\n"
cd=SDL::CD.open(0)
cd.status
print cd.numTracks," ",cd.status, "\n"

begin
  cd.playTracks 1,0,1,0
  sleep 100
ensure
  cd.stop
end
#source end

This is the output I get on the command line:

C:\Documents and Settings\USER\??????\brendan\dev
\ruby>rubyscript2exe.rb exe-test\cdrom.rb
Tracing cdrom ...
Gathering files...
c:/ruby/lib/ruby/site_ruby/1.8/rubysdl_aliases.rb:340: undefined
method `loadFromIO' for class `SDL::Surface' (NameError)
        from c:/ruby/lib/ruby/site_ruby/1.8/rubygems/custom_require.rb:
27:in `gem_original_require'
        from c:/ruby/lib/ruby/site_ruby/1.8/rubygems/custom_require.rb:
27:in `require'
        from c:/ruby/lib/ruby/site_ruby/1.8/sdl.rb:271
        from c:/ruby/lib/ruby/site_ruby/1.8/rubygems/custom_require.rb:
27:in `gem_original_require'
        from c:/ruby/lib/ruby/site_ruby/1.8/rubygems/custom_require.rb:
27:in `require'
        from exe-test/cdrom.rb:1
Copying files...
Creating cdrom.exe ...

C:\Documents and Settings\USER\??????\brendan\dev\ruby>

A google search for the following was not fruitful:
loadFromIO SDL::Surface

Any help will be appreciated,
-Brendan