One major reason not to install Rails directly onto Windows is because of all the gem incompatibilities you'll run into. JRuby would have the same problem.
The problem is even worse when you're learning Rails because you'll see an awesome Railscast on how to use X and then find out that you can't use X with JRuby. That'd be terribly frustrating for a beginner.
Even if the gem compatibility problem was solved, there's still the question of performance. Ruby on Rails? Ruby on Snails more like. Making Rails easy to install on Windows a-la railsinstaller is all very well, but until it's usable for even basic development there's really no point.
Even both were out of the way: where will you deploy? Heroku? EC2? Your own server somewhere else? Chances are high that it will be Linux, so its great to start with it.
I've been developing using Rails on Windows since last month. It is usable for basic development for me, but I had to discard TDD with RSpec since it's painfully slow (Spork with Guard don't really help).
Strongly recommend you move towards using a VM per article.
JRuby is the best option if you don't want to use virtualization, but the JVM startup time really starts to hit you if you use the rails command or rake tasks a lot.