I got CptnRuby.rb running with ruby 1.9.1 and rubygems1.9.1, and I think I have an idea why yours is not working. Looks like your rubygems is set up wrong, have a look at the path above. Here's what I have now...
$ gem -v
1.3.5
$ ruby -v
ruby 1.9.1p378 (2010-01-10 revision 26273) [x86_64-linux]
$ gem which gosu
(checking gem gosu-0.7.37 for gosu)
/var/lib/gems/1.9.1/gems/gosu-0.7.37/lib/gosu.rb
Try a complete uninstall all rubygems and make sure only to get version 1.9.2 this time and maybe you'll have more luck.
First attempt with 1.9.1 I stuffed up and didn't install all the correct packages, so I went to google in search of help and found three more packages listed here...
http://docs.rubygems.org/read/chapter/15 (libdrb-ruby and liberb-ruby and rdoc). Not sure if that helped at all as after that I realised I was just a noob and was trying to use ruby1.8 with rubygems1.9.1.