I have installed ruby 1.9.3 from sources and downloaded rubygems 1.3.6 also source.
looking at the manual I untarred the tarball and typed ruby setup.rb
This is what I get as output:
/usr/local/lib/ruby/1.9.1/rubygems.rb:206:in `try_activate': undefined method
`find_by_path' for Gem::Specification:Class (NoMethodError)
from /usr/local/lib/ruby/1.9.1/rubygems/custom_require.rb:59:in `rescue in require'
from /usr/local/lib/ruby/1.9.1/rubygems/custom_require.rb:35:in `require'
from /root/rubygems-1.3.6/lib/rubygems/config_file.rb:50:in `<class:ConfigFile>'
from /root/rubygems-1.3.6/lib/rubygems/config_file.rb:28:in `<top (required)>'
from /usr/local/lib/ruby/1.9.1/rubygems/custom_require.rb:36:in `require'
from /usr/local/lib/ruby/1.9.1/rubygems/custom_require.rb:36:in `require'
from /root/rubygems-1.3.6/lib/rubygems/gem_runner.rb:8:in `<top (required)>'
from /usr/local/lib/ruby/1.9.1/rubygems/custom_require.rb:36:in `require'
from /usr/local/lib/ruby/1.9.1/rubygems/custom_require.rb:36:in `require'
from setup.rb:25:in `<main>'
This is done on CentOS 5