Wow, rcov 0.2.0 is way faster than 0.1.0! Even the output is prettier :) "Get it now!":http://eigenclass.org/hiki.rb?rcov
If your a Windows user you will probably find it too difficult to compile the extension from source so just "grab the cross compiled binary":http://eigenclass.org/hiki.rb?cross+compiling+rcovrt. The author of rcov claims that the extension increases the execution by two orders of magnitude, and he's right!
The situation with Ruby extensions and Windows completely sucks. I've just set up a Debian box so I can look in to the cross compiling a little further.