There’s a good-looking set of instructions over at My Preferred Rails Development Environment (via dzone). In it, Yehuda Katz walks through the basic install steps for Eclipse, and then configures it with a set of plugins to speed Rails development.
I’m not going down this road myself at the moment, though. When learning a new language, I prefer to stick fairly close to the bare code and do a fair amount of typing (and even, dare I say it, some cut and paste) as I get the syntax locked into my brain. So right now I’m still mainly working in TextMate . Mileage varies, though, so if you’re a hardcore IDE person it’s nice to see how easy it is to set up a powerful free one for this stuff.