The whole "setup your environment" phase is tricky for someone new especially if you're on Windows and probably caused a lot of people to stop reading before they even touched a line of Ruby code.
I think the tutorial could really use an explanation of what a web app is (a bunch of files in a particular structure that the special server knows how to handle) and why we need all the setup to handle it. Then it should explain what actions, controllers, and routes are and what they do, instead of just introducing the terms without meanings. It wasn't until the exercises suggested changing the route to a different action that it clicked for me.
BTW, I think that "goodbye world" is a horrible example to use.
Way too hard to really get going, but maybe it's an OK patience screener.