Think I finally got it to work.
1) install ImageMagick from source using mingw, like (in msys bash) ./configure –prefix=/c/imagemagick –disable-perl && make && make install
lists a much easier way to do it (assuming you have the devkit installed):
install ImageMagick somewhere (with headers option checked, and yes add it to your path) (ImageMagick-6.6.2-Q16 known to work).
C:\> set CPATH=D:\installs\ImageMagick-6.6.2-Q16\include
C:\> set LIBRARY_PATH=D:\installs\ImageMagick-6.6.2-Q16\lib
C:\> gem install rmagick
Though he does list a few more steps that might be useful…
Note that it needs to be in a path with no spaces, or see the comments on how to use the short pathnames.