This post will deal with getting a solid installation of multiple Rubies on Windows. If you've got previous installations you can always just uninstall them and start over from here. Make sure to delete previous installation folders after uninstalling.

Installing Rubies

Go get all the ruby installers you want and install each one into their own folder. (eg. C:\Ruby\Ruby193 or C:\Ruby\Ruby200-x64)

Select one as your default version and install it with Add Ruby executables to your PATH.
This will be the active version when opening a new PowerShell.

Installing DevKits

Download all of the DevKits required for your different Ruby installs from the same page. It should be fairly straight forward to figure out which ones you need.

While downloading the DevKits you can open up a PowerShell and set the execution policy so that you can run scripts. This isn't needed until later but we might as well get it out of the way.

PS C:\> Set-ExecutionPolicy Unrestricted -Scope CurrentUser

Repeat the following procedure for each DevKit that you are installing

Extract the DevKit to its own folder. (e.g. C:\Ruby\DevKit-mingw64-4.7.2 or C:\Ruby\DevKit-tdm-32-4.5.2)

Back to our PowerShell so we can initialize the DevKit installation

PS C:> cd Ruby\DevKit-mingw64-4.7.2
PS C:\Ruby\DevKit-mingw64-4.7.2> ruby .\dk.rb init

Chances are that the initialization didn't go as intended so open up config.yml in a text editor. (yay notepad!)

PS C:\Ruby\DevKit-mingw64-4.7.2> notepad config.xml

The config file should contain the installation paths of the Ruby versions that this DevKit is for. Add any missing ones and remove any that are not for that DevKit.
Note the forward-slashes and the leading dash and space

For instance, if the DevKit is for 2.0.0 x64

- C:/Ruby/Ruby200-x64

or if the DevKit is for 1.8.7 and 1.9.3

- C:/Ruby/Ruby187
- C:/Ruby/Ruby193

Once you've made sure that the file contains the right paths, save any changes and close notepad.

Then you can finally install the DevKit

PS C:\Ruby\DevKit-mingw64-4.7.2> ruby .\dk.rb install

And now to the hero of our little drama...

Pik to the rescue!

We begin by installing the Pik gem

PS C:\> gem install pik
--- output snipped ---
1 gem installed

Now find a good spot for Pik to live and install it there (I usually put it in C:\Ruby\Pik)

PS C:\> pik_install C:\Ruby\Pik

At this point Pik will warn you that the installation path is not in your PATH variable, so lets fix that.

    PS C:\> [environment]::SetEnvironmentVariable("PATH", "C:\Ruby\Pik;" + [environment]::GetEnvironmentVariable("PATH", "Machine"), "Machine")

Since that's quite a mouthful you might want to create a function for that some day

Now that Pik is ready to go, lets see what it has to say

PS C:> pik info
pik 0.2.8

ruby:
interpreter:  "ruby"
version:      "1.9.3"
--- output snipped ---

If Pik complains that you do not have a ruby version in your PATH you might want to go add one now for the version that you want to be your default.
If Pik instead warns you that you have more than one Ruby installation in your PATH variable, you should go remove all but the one you want as you default.
This is why we only installed one of the Ruby versions with the Add Ruby executables to your PATH option.

If you have installed pik before you might see something like this?

There was an error.
Error: undefined method `[]' for nil:NilClass

If this is the case, remove your Ruby installations from Pik and re-add them. To see installations already added to Pik use the list command.

PS C:> pik list
* 193: ruby 1.9.3p448 (2013-06-27) [i386-mingw32]

Then remove and add them

PS C:> pik rm 193
Are you sure you'd like to remove '193: ruby 1.9.3p448 (2013-06-27) [i386-mingw32]'?  |yes|
yes
193: ruby 1.9.3p448 (2013-06-27) [i386-mingw32] removed.

PS C:> pik add C:\Ruby\Ruby193\bin
** Adding:  193: ruby 1.9.3p448 (2013-06-27) [i386-mingw32]
Located at:  C:\Ruby\Ruby193\bin

Once pik info returns actual information about one of your ruby installations, you can add the other ones.
When you have added all your ruby installations to pik you can switch versions like this.

PS C:\> pik use 200

And you're good to go, for now.