It depends on where you are running Ruby, e.g on Debian you have to install
libsqlite3-ruby e.g with apt-get (apt-get install libsqlite3-ruby)
You should have installed gem along with ruby, than a
gem install sqlite3-ruby should install all what is needed for sqlite3
The homepage for sqlite3-ruby is at:
http://sqlite-ruby.rubyforge.org/sqlite3/faq.htmland here someone wrote about his troubles with sqlite3 on windows:
http://blade.nagaokaut.ac.jp/cgi-bin/scat.rb/ruby/ruby-talk/193641With best regards
Friedrich