To keep this post sweet and concise, the first thing you need to do is to open up Terminal.
Gain root access by entering the following:
You will be prompted for your root password.
Next, enter the followings:
apt-get install build-essential zlib1g zlib1g-dev libruby1.9.1 libxml2 libxml2-dev libxslt1-dev
apt-get build-dep ruby1.9.1
wget ftp://ftp.ruby-lang.org/pub/ruby/1.9/ruby-1.9.2-p0.tar.bz2
tar xvjf ruby-1.9.2-p0.tar.bz2
After extracting, open up ruby-1.9.2-p0/ext/Setup and uncomment zlib line (remove the #).
Then, configure, compile and install:
./configure
make
make install
Viola!~ You are done installing Ruby 1.9.2