The reason is that file stat's in windows are dreadfully slow, and, since Ruby is written on Linux (and optimized for Linux), there hasn't been much work to make it faster.
Using the rubyinstaller.org (1.8.6 or 1.9.x) can make it faster--I'd recommend 1.8.6 since 1.9 has some slowdowns of its own.
If you're looking to get really aggressive, you can try my faster_gem_script gem, which tries to cache the heck out of require based look ups and thus speed things up. Do it with a scratch version of ruby, though :)
Unfortunately Jruby also isn't known for its exceedingly fast lookups. Hopefully this situation will change someday. Until then my faster_gem_script and faster_require are the only way I know of to try to get some speedup.
For a speedup you could try my loader speeder upper (helps rails run faster in doze): https://github.com/rdp/faster_require
Also checkout spork, which works in doze, and jruby also works well.
-rp