[swalberg]

http://railsinstaller.org/ makes it really easy on Windows, though you might find that some of the gems don't work properly.

Another option would be to use something like Vagrant, which gives you a VirtualBox server that's mapped to your local filesystem. So you use the editors you're used to but you have a fairly solid server running the code. If you search around for "vagrant rails" you'll find several pre-built images, along with a RailsCast that explains how it all fits together.

[Reltair]

I recommend RailsInstaller as well for Windows users. It is straightforward to set up and I've had no issues so far using it.

When I get more experience in Rails though, I'll probably switch over to using a Mac.