I solved it by downloading the gem from the website (e.g. term-ansicolor), installing it manually with the --local
switch, then running the installation script again to get the name of the next missing gem.
I continued that way until I could install TaskJuggler.
Since I also had problems installing Ruby and RubyGem before, I have now started to create a TaskJuggler Installer for Windows, which comes with all the components and runs them in the correct order.
Disclaimer: I'm the author of that free installer.