I managed to succeed at this out of pure luck, but after an hour of hell I feel like I should share my solution, obviously very shortened but a lot of the steps I think you can figure out how to do on your own.
My machine is Win 7 64bit. I was able to install version 0.3.16
1. Install ruby version 2.0.0p481 (?)
2. Devkit blah blah
3. Install rails version 4.0.0
4. Download Mysql Connector C 64 bit zip file, put in C drive as mysqlc
5. Take DLL from that bin, put it in lib of ruby
6. gem install mysql2 -- -- with-mysql-dir="C:\mysqlc"