There are two ways to install the DLL files.
Copy to system32 - If you copy the DLL files to C:\Windows\system32, the DLLs will become available to all programs. This will only have to be done once, but is harder to undo.
Copy to your program directory - Copy the DLL files to the same directory as your Rubygame program. This will have to be done multiple times if you use multiple directories, but is easier to undo and doesn't require administrative privileges on your computer.
In this screenshot, the file gameprog2.zip has been unzipped and the DLL files copied into its directory. The DLLs will need to be copied again if any other example program zip files are downloaded.