Most people who are not on Windows use RVM to manage their Ruby versions, but RVM doesn’t work for Windows. Instead there’s a great tool called Pik that does the thing. Pik allows you to switch between different Ruby versions you have on your PC. I needed this once I went to 1.9.2.
The Github page for Pik is here: https://github.com/vertiginous/pik
The Github page didn’t include a lot of details though. For more detailed instructions, I found this wonderful tutorial by Ben Hall: