There is a 1-click installer available for Windows platforms. Grab it and follow instructions.
The ODBC adapter module is non-trivial to build; it requires a POSIX environment such as Cygwin. Alternatively, you can create a Visual Studio project to compile the C portions over the adapter into a DLL and marking Init_Odbc() for export. The extension of the resulting DLL then has to be changed from .DLL to .so. (See also Justin Rudd's notes after he hit similar problems building the mysql Ruby adapter on Windows http://seagecko.org/thoughts/in-the-past/2004/09/09/ruby-mysql-and-windows/ )