gem directory not find

Hi All,
I am new in Ruby.This is my first post in this forum and hoping
my problem will get resolved.

[root@server ~]# which ruby
/usr/bin/ruby
[root@server ~]# which gem
/usr/bin/which: no gem in
(/usr/kerberos/sbin:/usr/kerberos/bin:/usr/bin:/bin:/usr/local/nz/bin

[root@smqa-devdb3 ~]# gem list
bash: gem: command not found
[root@server ~]# ruby -v
ruby 1.8.5 (2006-08-25) [x86_64-linux]

How I can install gems? I want to install gems. I am able to run all
ruby scripts like test.rb.

Please help me out.

Thanks!

Really late though, but found an useful documentation on installing gem in the RubyGem documentation manual here