I was having a try out of devise gem with one of my Rails 3 pet project just yesterday. I installed Ruby 1.9.2 with the one-click installer from rubyinstaller.org and the latest Rails 3.0. But I faced installation problem as usual on windows. The problem was that it was not being able to build its native extensions.
After some research I found out the solution at http://github.com/oneclick/rubyinstaller/wiki/development-kit. What I was missing is development kit. I just followed the instruction and it was solved and installed devise with my Ruby 1.9.2 correctly.
But I am not sure whether it will work with Rails 3's bundle install command or not. I installed the gem from command line using the command gem install devise --platform=ruby before installing all the required gems with bundle install command . The last parameter platform is a must as it will temporarily use the DevKit to build native extensions. That's it.