PS C:\Users\Roman> ruby dk.rb install
[INFO] Updating convenience notice gem override for 'C:/Program Files (x86)/Heroku/ruby-1.9.3'
dk.rb:86:in `rename': Permission denied @ sys_fail2 - (C:/Program Files (x86)/Heroku/ruby-1.9.3/lib/ruby/site_ruby/1.9.1
/rubygems/defaults/operating_system.rb, C:/Program Files (x86)/Heroku/ruby-1.9.3/lib/ruby/site_ruby/1.9.1/rubygems/defau
from dk.rb:86:in `update_gem_override'
from dk.rb:260:in `block (2 levels) in install'
from dk.rb:246:in `each'
from dk.rb:246:in `block in install'
from dk.rb:219:in `each'
from dk.rb:219:in `install'
from dk.rb:313:in `run'
from dk.rb:332:in `<main>'
Currently, this is a problem with Ruby being installed to C:\Program Files\ without administator priviledges. For some reason, a copy of Ruby exists in my version of Heroku. This is autodetected by the devkit, and when it tries to install it there, it fails.
ruby dk.rb init executes, a YAML file is created, called config.yaml, and all the paths of detected version of Ruby are added to it. By opening config.yaml and editing out the Heroku path, the problem was solved.
I hope this is helpful for other users.
Found the help I needed here.