Cause:
Te root cause is improperly version dependecies (I use Ruby 2.0.0, Windows 7 32 bit (also checked on 64bit version).
Probably there is internal incositency if you are using BITNAMI REDMINE setup.
Solution: Install latest mysql2 driver and thin, then edit gem file in redmine directory to use those latest version. For me, currently it is:
[...]
gem 'thin', '1.6.2'
[...]
when 'mysql2'
gem "mysql2", "0.3.15", :platforms => [:mri, :mingw]
[...]