Below are steps to get things done:

1/ To list all distributions

wsl --list --online

2/ To install one:

wsl --install Ubuntu-24.04

When it's ready:

3/ Update the system before installing Ruby

sudo apt update

4/ Now will do install Ruby with RVM

curl -sSL https://get.rvm.io | bash -s stable
rvm install 3.2.5
rvm use 3.2.5 --default

5/ Install Rails

gem install rails