It is called a Shebang. It tells the program loader what command to use to execute the file. So when you run ./myscript.rb, it actually translates to /usr/local/bin/ruby -w ./myscript.rb.
Windows uses file associations for the same purpose; the shebang line has no effect (edit: see FMc’s answer) but causes no harm either.
A portable way (working, say, under Cygwin and RVM) would be:
#!/usr/bin/env ruby
This will use the env command to figure out where the Ruby interpreter is, and run it.
Edit: apparently, precisely Cygwin will misbehave with /usr/bin/env ruby -w and try to look up ruby -w instead of ruby. You might want to put the effect of -w into the script itself.