Summarising the instructions from the Jekyllrb Site these are the steps to install Jekyll on Windows and run Jekyll to serve pages from the local copy of a Github Pages site.
Open Powershell as an administrator.
Reopen Powershell as as administrator.
If the version is less than 2.6 than you need to follow these instructions to update the package otherwise you can get SSL errors when running gem install.
Download the rubygems update: https://rubygems.org/downloads/rubygems-update-2.6.7.gem
Edit C:\Tools\Devkit2.yml and include the path to Ruby “- C:\tools\ruby23”