Ok, the error your getting is when you tell the Ruby interpreter to run a file that does not exist on your computer. I'll bet if you cd into src/objc/cocoa from your rubycocoa-panther directory (that was created durring the CVS session) and do an "ls" you'll find that the file gen_cocoa_wrapper.rb is nowhere to be found. More than likely it was not created during the CVS steps.
So, I would remove the entire rubycocoa-panther directory and run through all of CVS steps again and try to do the ruby install after that. If memory serves, I actually had to get the files from CVS twice the first time I installed RubyCocoa on my system because the first try didn't download all of the files I needed.
So, give that a try and if you're still having problems with it, send me an email (just click on my name and it should bring up OSX Mail) and I will tar up the rubycocoa-panther directory I have and send it to you and we can take it from there.
Don't give up me just yet, we'll get everything working on your system before you know it.
Good luck, and let me know what happens.