Suf gets experimental!
Read http://www.capify.org/ about Capistrano and discovered that it requires Ruby 1.8 upwards
Ok.
Head on down to http://www.ruby-lang.org/en/downloads/ to get the "one-click" installer. For Windows. (I got 1.8.6)
Confirm the existence of RubyGems using "gem -v" on Windows' command-line.
Type in "gem install -y capistrano" to download / install Capistrano
Didn't work? Need to update the gems.
Type in "gem update --system"
When that's done, enter "gem install -y capistrano" again.
Should work now.