are you using the GUI tool? so you know it is completely septate form RMX-OS. if you place the exe and the necessary dll files in the folder where the server file is the GUI will detect it and pressing run will run the server. if it says the server is running then your good. if it says it isn't then some thing caused the server to crash.
if thats the case then use the command prompt to run the the server so that you can get the error or check the logs.
if your having trouble with this then drop the idea now, running a server is far too complex for some people you better off making a single player game that has a better chance of surviving.
EDIT: for some reason I didn't see the image the first time. you need to install ruby like it says in the manual. did you even read the chapter on installing the server? it is absolutely critical that you do, you can't run the server with out following those instructions to the letter.