<p>Has anyone out there got a good set of instructions for building/compiling Ruby from source of windows XP ?</p>

http://blade.nagaokaut.ac.jp/cgi-bin/scat.rb/ruby/ruby-talk/184380
I normally get a binary installable for windows.. much faster if you just need Ruby installed. But you may be modifying ruby source.. anyways..
Update:
I ended up compiling Ruby from source today... here is what worked for me
http://madcoderspeak.blogspot.com/2009/06/how-to-compile-ruby-from-source-on.html