Well, I have two things to mention here. First, truthfully, I still have problems with some of the samples that were supllied. The Pong sample is one of these. So, give the RubyTypingTutor sample a try and see what happens. That one worked for me.
Second, I did a search on my system for the file you're having trouble loading (the rbconfig file) and it only shows up in one place--my Ruby install folder, not my RubyCocoa folder. I am running Ruby 1.8.1 and I read over some of the info at the RubyCocoa site and it seems like there are some problems with running the default version of Ruby that comes with the Mac. So, you may want to try installing the latest version of Ruby and then Reinstalling RubyCocoa. That may solve the problem your having.
If either of these don't seem to work for you, write me back and I'll see if I can come up with some other solution.