To install rails you will need sqlite3 installed( though you can use
any db supported it's just default)

Here is a console walk through to get you started. First a summer of
commands used:

-> % history

   1  gem install rails
   2  rehash
   3  rails new my_web_app
   4  cd my_web_app
   5  bundle install
   6  rails server

(1) I install the rails gem. (2) I rehash for zsh. (3) I create my new
application template with the rails new generator. (4) I change to my
new application's directory. (5) run the bundler command to find any
gems that may be not installed (i.e. sqlite3). (6) start the server.

from there you can open your browser and see the welcome screen at
http://0.0.0.0:3000 or localhost:3000

Further instructions can be found at the Rails guide link on that page.

Here is a more verbose output from my console:

-> %  gem install rails
Fetching: activesupport-3.0.7.gem (100%)
Fetching: builder-2.1.2.gem (100%)
WARNING: builder-2.1.2 has an invalid nil value for @cert_chain
Fetching: i18n-0.5.0.gem (100%)
Fetching: activemodel-3.0.7.gem (100%)
Fetching: rack-test-0.5.7.gem (100%)
Fetching: rack-mount-0.6.14.gem (100%)
Fetching: tzinfo-0.3.27.gem (100%)
Fetching: abstract-1.0.0.gem (100%)
WARNING: abstract-1.0.0 has an invalid nil value for @cert_chain
Fetching: erubis-2.6.6.gem (100%)
Fetching: actionpack-3.0.7.gem (100%)
Fetching: arel-2.0.9.gem (100%)
Fetching: activerecord-3.0.7.gem (100%)
Fetching: activeresource-3.0.7.gem (100%)
Fetching: mime-types-1.16.gem (100%)
Fetching: polyglot-0.3.1.gem (100%)
Fetching: treetop-1.4.9.gem (100%)
Fetching: mail-2.2.19.gem (100%)
Fetching: actionmailer-3.0.7.gem (100%)
Fetching: thor-0.14.6.gem (100%)
Fetching: railties-3.0.7.gem (100%)
Fetching: bundler-1.0.12.gem (100%)
Fetching: rails-3.0.7.gem (100%)
Successfully installed activesupport-3.0.7
Successfully installed builder-2.1.2
Successfully installed i18n-0.5.0
Successfully installed activemodel-3.0.7
Successfully installed rack-test-0.5.7
Successfully installed rack-mount-0.6.14
Successfully installed tzinfo-0.3.27
Successfully installed abstract-1.0.0
Successfully installed erubis-2.6.6
Successfully installed actionpack-3.0.7
Successfully installed arel-2.0.9
Successfully installed activerecord-3.0.7
Successfully installed activeresource-3.0.7
Successfully installed mime-types-1.16
Successfully installed polyglot-0.3.1
Successfully installed treetop-1.4.9
Successfully installed mail-2.2.19
Successfully installed actionmailer-3.0.7
Successfully installed thor-0.14.6
Successfully installed railties-3.0.7
Successfully installed bundler-1.0.12
Successfully installed rails-3.0.7
22 gems installed
Installing ri documentation for activesupport-3.0.7...
Installing ri documentation for builder-2.1.2...
Installing ri documentation for i18n-0.5.0...
Installing ri documentation for activemodel-3.0.7...
Installing ri documentation for rack-test-0.5.7...
Installing ri documentation for rack-mount-0.6.14...
Installing ri documentation for tzinfo-0.3.27...
Installing ri documentation for abstract-1.0.0...
Installing ri documentation for erubis-2.6.6...
Installing ri documentation for actionpack-3.0.7...
Installing ri documentation for arel-2.0.9...
Installing ri documentation for activerecord-3.0.7...
Installing ri documentation for activeresource-3.0.7...
Installing ri documentation for mime-types-1.16...
Installing ri documentation for polyglot-0.3.1...
Installing ri documentation for treetop-1.4.9...
Installing ri documentation for mail-2.2.19...
Installing ri documentation for actionmailer-3.0.7...
Installing ri documentation for thor-0.14.6...
Installing ri documentation for railties-3.0.7...
Installing ri documentation for bundler-1.0.12...
Installing ri documentation for rails-3.0.7...
Installing RDoc documentation for activesupport-3.0.7...
Installing RDoc documentation for builder-2.1.2...
Installing RDoc documentation for i18n-0.5.0...
Installing RDoc documentation for activemodel-3.0.7...
Installing RDoc documentation for rack-test-0.5.7...
Installing RDoc documentation for rack-mount-0.6.14...
Installing RDoc documentation for tzinfo-0.3.27...
Installing RDoc documentation for abstract-1.0.0...
Installing RDoc documentation for erubis-2.6.6...
Installing RDoc documentation for actionpack-3.0.7...
Installing RDoc documentation for arel-2.0.9...
Installing RDoc documentation for activerecord-3.0.7...
Installing RDoc documentation for activeresource-3.0.7...
Installing RDoc documentation for mime-types-1.16...
Installing RDoc documentation for polyglot-0.3.1...
Installing RDoc documentation for treetop-1.4.9...
Installing RDoc documentation for mail-2.2.19...
Installing RDoc documentation for actionmailer-3.0.7...
Installing RDoc documentation for thor-0.14.6...
Installing RDoc documentation for railties-3.0.7...
Installing RDoc documentation for bundler-1.0.12...
Installing RDoc documentation for rails-3.0.7...

-> %  rehash

-> %  rails new my_web_app
      create
      create  README
      create  Rakefile
      create  config.ru
      create  .gitignore
      create  Gemfile
      create  app
      create  app/controllers/application_controller.rb
      create  app/helpers/application_helper.rb
      create  app/mailers
      create  app/models
      create  app/views/layouts/application.html.erb
      create  config
      create  config/routes.rb
      create  config/application.rb
      create  config/environment.rb
      create  config/environments
      create  config/environments/development.rb
      create  config/environments/production.rb
      create  config/environments/test.rb
      create  config/initializers
      create  config/initializers/backtrace_silencers.rb
      create  config/initializers/inflections.rb
      create  config/initializers/mime_types.rb
      create  config/initializers/secret_token.rb
      create  config/initializers/session_store.rb
      create  config/locales
      create  config/locales/en.yml
      create  config/boot.rb
      create  config/database.yml
      create  db
      create  db/seeds.rb
      create  doc
      create  doc/README_FOR_APP
      create  lib
      create  lib/tasks
      create  lib/tasks/.gitkeep
      create  log
      create  log/server.log
      create  log/production.log
      create  log/development.log
      create  log/test.log
      create  public
      create  public/404.html
      create  public/422.html
      create  public/500.html
      create  public/favicon.ico
      create  public/index.html
      create  public/robots.txt
      create  public/images
      create  public/images/rails.png
      create  public/stylesheets
      create  public/stylesheets/.gitkeep
      create  public/javascripts
      create  public/javascripts/application.js
      create  public/javascripts/controls.js
      create  public/javascripts/dragdrop.js
      create  public/javascripts/effects.js
      create  public/javascripts/prototype.js
      create  public/javascripts/rails.js
      create  script
      create  script/rails
      create  test
      create  test/fixtures
      create  test/functional
      create  test/integration
      create  test/performance/browsing_test.rb
      create  test/test_helper.rb
      create  test/unit
      create  tmp
      create  tmp/sessions
      create  tmp/sockets
      create  tmp/cache
      create  tmp/pids
      create  vendor/plugins
      create  vendor/plugins/.gitkeep

-> %  cd my_web_app

-> %  bundle install
Fetching source index for http://rubygems.org/
Using rake (0.8.7)
Using abstract (1.0.0)
Using activesupport (3.0.7)
Using builder (2.1.2)
Using i18n (0.5.0)
Using activemodel (3.0.7)
Using erubis (2.6.6)
Using rack (1.2.2)
Using rack-mount (0.6.14)
Using rack-test (0.5.7)
Using tzinfo (0.3.27)
Using actionpack (3.0.7)
Using mime-types (1.16)
Using polyglot (0.3.1)
Using treetop (1.4.9)
Using mail (2.2.19)
Using actionmailer (3.0.7)
Using arel (2.0.9)
Using activerecord (3.0.7)
Using activeresource (3.0.7)
Using bundler (1.0.12)
Using thor (0.14.6)
Using railties (3.0.7)
Using rails (3.0.7)
Installing sqlite3 (1.3.3) with native extensions
Your bundle is complete! Use `bundle show [gemname]` to see where a
bundled gem is installed.

-> %  rails server
=> Booting WEBrick
=> Rails 3.0.7 application starting in development on http://0.0.0.0:3000
=> Call with -d to detach
=> Ctrl-C to shutdown server
[2011-04-28 23:34:37] INFO  WEBrick 1.3.1
[2011-04-28 23:34:37] INFO  ruby 1.9.2 (2011-02-18) [x86_64-linux]
[2011-04-28 23:34:37] INFO  WEBrick::HTTPServer#start: pid=3186 port=3000


Started GET "/rails/info/properties" for 127.0.0.1 at 2011-04-28 23:34:55 -0500
  Processing by Rails::InfoController#properties as HTML
  SQL (0.3ms)   SELECT name
 FROM sqlite_master
 WHERE type = 'table' AND NOT name = 'sqlite_sequence'

Rendered inline template (0.3ms)
Completed 200 OK in 19ms (Views: 0.8ms | ActiveRecord: 0.3ms)
^C[2011-04-28 23:35:00] INFO  going to shutdown ...
[2011-04-28 23:35:00] INFO  WEBrick::HTTPServer#start done.
Exiting
-> %