Companion notes for my 'Ruby on Ales' Belfast Ruby talk on an Introduction to Ruby. Slides are available on Speakerdeck.
One of the first and most important things to setup is a good text editor which you are comfortable using and will play nicely with Ruby projects. I'd recommend having a look at (and using) Sublime Text. It's an amazing editor, blazing fast, supports a huge amount of different languages and also has Mac, Windows and Linux support.