Following the answer from Dave Schweisguth, about the ruby bug, and doing the steps described by Heesob Park's comment, I could get mysql2 gem to work. Thank you guys for sharing this.
Quote from Heesob comment:
The libmysql.lib included in the MySQL Connector/C 64 bit is not
compatible with the mingw64-gcc compiler.
You need to generate mingw64 compatible libmysql.lib file.
To create an compatible libmysql.lib file, I did the following steps:
(I'm running Win8.1 x64 with Ruby 2.0.0p481 [x64-mingw32])
1) Downloaded this zip file https://structure-svm-map.googlecode.com/files/svm-map-win.zip and extracted it to a c:\tmp\svm-map
2) Downloaded Mysql C/Connector 6.1 from http://dev.mysql.com/get/Downloads/Connector-C/mysql-connector-c-6.1.3-winx64.zip and extracted it to c:\tmp\mysql
3) Open CMD Prompt
4) cd \tmp\svm-map\python-mingw-lib
5) gendef.exe \tmp\mysql\lib\libmysql.dll
6) move libmysql.def \tmp\mysql\lib
7) cd \tmp\mysql\lib
8) \Ruby200-x64\DevKit\mingw\bin\dlltool -v --dllname libmysql.dll --def libmysql.def --output-lib libmysql.lib
9) gem install mysql2 -- --with-mysql-dir=c:\tmp\mysql
That´s it! Mysql2 gem running on Rails x64 on Windows 8.1! =)