Are you sure you've downloaded the full commercial release of Ruby In Steel - not, for example, the IronRuby edition which doesn't do Rails?
You should have downloaded from this page: http://www.sapphiresteel.com/spip?page=download
What is the name of the download file (e.g. rubyinsteelde_allinone_2008.zip
To create a Rails project you should select the File menu, New then Project. Select Ruby In Steel in the left-hand pane. In the right-hand pane select Rails Project.
What options are shown in the right-hand pane at this point?
Incidentally, I am assuming that you already have both Ruby and Rails installed prior to dfoing this. If this is not the case you should download our all-in-one installer and install the full range of software listed in the setup program.