I have the Ruby version ruby 1.9.2p0 (2010-08-18) [i386-mingw32] installed in Windows7. and the gem vesion 1.3.7
When i tried to install mysql gem, it is showing
Since this keeps coming up on google as on of the top results, I should point out that this answers is from almost 2 years ago. Here is a more updated answer: How to use "mysql2" gem in Rails 3 application on Windows 7?
According to the developer there is a already a reported bug for it and he is working on parting mysql2 over to Windows. As of now - it's still in the works. Use the older mysql driver for now - or use sqlite for local development.
This is from the googlegroups discussion
Blockquote Hey Erwann, There's a ticket on the mysql2 issue tracker for Win32 support already at http://github.com/brianmario/mysql2/issues#issue/8 . You can follow it for progress; I'm doing my best to get things working smoothly for you guys. Hang tight! :)