This problem happened to me. Unfortunately there is a slight difference, I am using a 32 bit Windows Vista.
This answer helped me, though not enough
downloaded and installed MySQL 64bit version 5.5 downloaded the zip archive for the 32bit version 5.5 extracted the 3ébit include and lib folders to C:\MySQL installed ruby 1.9.2 installed the ruby devkit installed the gems: gem install mysql gem install mysql2 -- --with-mysql-lib=C:\MySQL\lib --with-mysql-include=C:\MySQL\include gem install rails gem install fastthread gem install haml Working as a charm now. Seems the mySQL gem has issues finding the data when dealing with 64bit.
So what I did is download the Windows (x86, 32-bit), ZIP Archive instead from http://dev.mysql.com/downloads/mysql/, extracted it to a certain folder and pointed the gem installer to that location.
After this, I executed
gem install mysql2 -v 0.3.6 -- --with-mysql-lib=path\to\mysql\lib --with-mysql-include=path\to\mysql\include C:\Windows\System32>gem install mysql2 -v 0.3.6 -- --with-mysql-lib=C:\apps\thir ds\mysql\mysql-5.5.15-win32\lib --with-mysql-include=C:\apps\thirds\mysql\mysql- 5.5.15-win32\include Temporarily enhancing PATH to include DevKit... Building native extensions. This could take a while... Successfully installed mysql2-0.3.6 1 gem installed Installing ri documentation for mysql2-0.3.6... Enclosing class/module 'mMysql2' for class Client not known Installing RDoc documentation for mysql2-0.3.6... Enclosing class/module 'mMysql2' for class Client not known