On Windows, you can install Gosu through RubyGems:
gem install gosu
Installation instructions for macOS | Installation instructions for Linux
Gosu has a companion gem for examples (gosu/gosu-examples on GitHub).
gem install gosu-examples
gosu-examples # ...to show the example box
You can select examples from the right sidebar and jump straight into the source code by pressing S.
We recommend starting with the Ruby Tutorial on the wiki. For more documentation, check out the links in the sidebar.