The best least failure-prone way I’ve found is by using RubyInstaller builds. Go to http://rubyinstaller.org/downloads/ to get the latest Ruby+Devkit (be careful to choose well your architecture).
gem install jekyll bundler
If you have to create a new Jekyll app:
jekyll new appdir cd appdir
If you already got one:
Now we will edit the Gemfile to include wdm. Add this:
gem 'wdm', '>= 0.1.0' if Gem.win_platform?
bundle install bundle exec jekyll serve