I've downloaded rubyscript2exe, and:

$ ruby rubyscript2exe.rb HelloWorld.rb

will create a file called HelloWorld_linux which runs on linux.

The problem is that I'm trying to make a single .exe for windows
users.

I rm -rf'd the script, and then used ruby gems to install
rubyscript2exe (although it was stored only on my /var partition and
had to be moved to my /usr/local/bin) and it produced the same result.