The md5.so problem in Cygwin turned out to be related to OpenSSL as well. Once I installed this, the Gems installation went through.
Next hurdle: Gems can handle only basic proxy authentication; since the proxy server at work uses NTLM, I couldn't automatically download and install Rails. Not willing to give up, I downloaded and installed all the required packages manually.
You would think my woes were over. You would be wrong. I do not have MySQL at work, so it looked like I wouldn't be able to build and run the sample Cookbook application. Having come this far, I decided to substitute for MySQL with Oracle. I fired up a SQL*Plus session and created the recipe table in a spare Oracle database.
OK, now I have to edit the database.yml file and fill in the details of the Oracle instance. Only problem is, I didn't have the ruby-oci8 package. Off to the relevant rubyforge page. Download. Configure. Error: I do not have the relevant OCI header files in the Oracle client setup in my machine.
Sometimes the signs are very obvious. Some higher power is telling you to stop, trying to gently drag you away from the mess, whispering it's not meant to be, give it up, son... but you pay no heed to these messages and keep on ploughing ahead, thinking just one more step, and then things will be alright... until you reach a stage where it's simply not worth it anymore, and you throw up your hands in frustration and proceed to rm -rf ruby-1.8.2 and watch with righteous wrath as tiny *.rb files run helter-skelter, squealing in panic, trying to beseech impassive *.cpp and *.sh files for help, only to be turned away and be hunted down mercilessly by the File Deleter.