After a fresh install of ruby for Windows 64x, I was able to install gems with no problem, but the "ruby" command itself is not recognized, which I need to setup ruby devs and install jekyll.
EDIT:
In case someone else is in my situation, the thing that finally worked for me was to uninstall ruby and make a clean installation with the 2.2.6 version of the installer (https://rubyinstaller.org/downloads/). Then I was able to install Sass, Ruby devKit and Jekyll. The executable of Ruby 2.4.3 just won't work.