Installation on Windows with cygwin works.  This bug report is about installing on native Windows XP without making
use of cygwin.

What was done:
1. download of source isaac_0.9.1.tar.gz
2. unpacking of source using tar of cygwin
   cd .....
   tar xfzvv isaac_0.9.1.tar.gz
3. open a black CMD-window
4. cd ... to the directory in isaac_0.9.1 created by tar
5. test

D:\cygwin\tmp\isaac_0.9.1>ruby setup.rb test
Testing Crypt::ISAAC ...
Loaded suite TC_ISAAC.rb
Started
...
17596655 e15297a0 a0a019e7 b962f139 f9952fdf 93ad065a c17b6b0a
752c69ca 744bd6d9 08749ac6 936a0355 5d656b29 80c3db29 e9101621
f81f7248 899de79b 7c22f132 8a11b06e d2bc9fec 389dd9d1 f0f69dd2
a1fffc27 ba07f6ed d4a079ff ea215a46 c732c122 d23b0049 8c445fc2
1f765ebf 1aa96144 5ab89103 a42e3592 84931b27 583de4ef 0b3028b3
02ad2986 4ae339c4 a857fb19 8caa26c6 49f300e5 460392a0 57e772b7
400439aa 767224d5 a35d8732 560bd646 13c044d3 5d8891ee cf5a842a
6754a3b2 7039c59b b386186d 6bd20a7d b0bd92cc fe0855ed db1c952d
b7f70aa4 97870af4 bb6399ef 03c0e833 a552b352 6989a945 5c26240a
1f46d652 fc68b3d7 4d9b457e 34df92db cd33054e a93822c0 7e9a735b
6151a8d6 15878c2b 55d77ebd 2e36916c bbe44653 4ba319bb d8a74b17
4035bfc0 c90562a1 24c4b28e b027ada5 f516c3d4 81919549 7e21776e
9a36295f 131569a8 8d3037f9 24f4976b 9ac17d1b 871a1bce 9922141b
662e8c57 9e3d7587 85d2bc44 2b56b84d 176e4ae7 90f304a1 6c1f5f4a
0132b25f 63b04d50
100000 numbers generated
..
Finished in 6.266 seconds.

5 tests, 10 assertions, 0 failures, 0 errors

OK

6. try to install according to what README suggests:

D:\cygwin\tmp\isaac_0.9.1>ruby setup.rb install
Installing Crypt::ISAAC ...
mkdir -p /d:/ruby/lib/ruby/site_ruby/1.8/crypt
d:/ruby/lib/ruby/1.8/fileutils.rb:212:in `mkdir': Invalid argument - /d: (Errno::EINVAL)
        from d:/ruby/lib/ruby/1.8/fileutils.rb:212:in `fu_mkdir'
        from d:/ruby/lib/ruby/1.8/fileutils.rb:193:in `mkdir_p'
        from d:/ruby/lib/ruby/1.8/fileutils.rb:191:in `reverse_each'
        from d:/ruby/lib/ruby/1.8/fileutils.rb:191:in `mkdir_p'
        from d:/ruby/lib/ruby/1.8/fileutils.rb:177:in `each'
        from d:/ruby/lib/ruby/1.8/fileutils.rb:177:in `mkdir_p'
        from setup.rb:143:in `install'
        from setup.rb:241:in `__send__'
         ... 6 levels...
        from setup.rb:573:in `each'
        from setup.rb:573:in `run_tasks'
        from setup.rb:84:in `setup'
        from setup.rb:587