Rails is just a big gem. Installation is a breeze:
zsh, pizza 5:17PM ruby/ # gem install rails --remote --include-dependencies Attempting remote installation of 'rails' Updating Gem source index for: http://gems.rubyforge.org
Give it a few minutes to do things, and you'll have a complete rails installation including ActiveRecord and all the related adapters and gems.
The most recent two releases of the ODBC adapter provide the same functionality but targetting two different versions of ActiveRecord/Rails, 1.5 and 2.0 - if you wish to pin Rails to a specific version for any reason, you can run
zsh, pizza 5:17PM ruby/ # gem install rails -v 2.0.2 --remote --include-dependencies
The process of setting up a new Rails web-app is detailed in RailsAdapterWebRailsAppSetup.