Error Installing Jekyll - Native Extension Build
Your problem is that either you system doesn't know where make is located at or you don't have it installed. The easiest way to fix this (and probably other issues you'll run into trying to get a ruby system up and running) is to install xcode.
You can get it at http://itunes.apple.com/us/app/xcode/id497799835?ls=1&mt=12 for lion. Or it came on a CD with your computer for earlier versions.
If you're using Lion, please see comments below for a link to how to install developer tools on Lion.