Garreau Alexandre:
As I've said, I use Debian GNU/Linux Wheezy on my server. I've installed ruby-dev, but that didn't fixed the problem: same error.
Buildig nokogiri requires libxml2-dev and libxslt-dev. Installing those two packages should fix the issue. At least it did in a fresh live Wheezy system.
I have updated the INSTALL documentation accordingly, thanks for the report.