Ahhhhh was a silly (but not that much) matter.

Just because Fink install itself in /sw/ and set this one as the sole 
$PATH variable... that's why when I call a gem, that in my case is not 
situated in /sw/bin/, I receive a "File not found" error.

It is sufficient to do an

export PATH=/opt/local/bin:/opt/local/sbin:$PATH

to solve everything. :)

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