It seems that building Ruby extensions under win32 is quite a daunting task:
I've been asked repeatedly to provide win32 binaries for rcovrt (the extension
that makes rcov's code coverage analysis run two orders of magnitude faster*1), so I cross-compiled it from
the comfort of a non-win32 platform, using mingw.
Binaries built with mingw should be compatible with the ruby-mswin32
distribution, which also means they should work fine with the latest
one-click-installer distros (the 1.8.4-16 series), since they are based
on the good old ruby-mswin32 builds.
Cross-compiling ruby
The first thing I need to generate an appropriate Makefile in order to
cross-compile rcovrt is a suitable rbconfig.rb. It turns out that the easiest
way to create it is cross-compiling ruby itself (it takes under 2 minutes on
my fairly old box), obtaining the desired file in the process.