You can download the Ruby interpreter from
ruby-lang.org if you're on Windows. If you're on Linux and OSX you could also use your favorite package management system like apt-get or port.
Here's a nice, compact tutorial for installing Ruby on these mainstream OSes.
As far as
IDE's go,
Eclipse has a plugin (called RDT),
Netbeans has a plugin, and the creator of IntelliJ IDEA have recently released
RubyMine. I currently use
TextMate myself, which is really just a glorified text editor, because I'm mostly working on small scripts and utilities (I'm working on a Java-based product at the moment). For serious development, however, I'd look into one of the above IDEs.