C:\>gem install mysql2
Temporarily enhancing PATH to include DevKit...
Building native extensions.  This could take a while... Error installing mysql2:
        ERROR: Failed to build gem native extension.
 
        C:/RailsInstaller/Ruby1.8.7/bin/ruby.exe extconf.rb --with-mysql-include
=C:\Program Files\MySQL\MySQL Server 5.5\include\mysql
checking for rb_thread_blocking_region()... no
checking for main() in -llibmysql... yes
checking for mysql.h... no
checking for mysql/mysql.h... no
-----
mysql.h is missing.  please check your installation of mysql and try again.
-----
*** extconf.rb failed ***
Could not create Makefile due to some reason, probably lack of
necessary libraries and/or headers.  Check the mkmf.log file for more
details.  You may need configuration options.
 
Provided configuration options:
        --with-opt-dir
        --without-opt-dir
        --with-opt-include
        --without-opt-include=${opt-dir}/include
        --with-opt-lib
        --without-opt-lib=${opt-dir}/lib
        --with-make-prog
        --without-make-prog
        --srcdir=.
        --curdir
        --ruby=C:/RailsInstaller/Ruby1.8.7/bin/ruby
        --with-mysql-dir
        --without-mysql-dir
        --with-mysql-include=${mysql-dir}/include
        --with-mysql-lib
        --without-mysql-lib=${mysql-dir}/lib
        --with-libmysqllib
        --without-libmysqllib
 
Gem files will remain installed in C:/RailsInstaller/Ruby1.8.7/lib/ruby/gems/1.8
/gems/mysql2-0.3.2 for inspection.
Results logged to C:/RailsInstaller/Ruby1.8.7/lib/ruby/gems/1.8/gems/mysql2-0.3.
2/ext/mysql2/gem_make.out

C:\>gem install mysql2 -- '--with-mysql-include="c:\Program Files\MySQL\MySQL Server 5.5\include"'