Este error es muy comun cuando empezamos a trabajar con Rails, y no te nemos grandes conocimientos sobre el tema, al momento que nosotros creamos un proyecto en rails con el comando

rails my_proyect
create
create  app/controllers
create  app/helpers
create  app/models
create  app/views/layouts
create  config/environments
create  config/initializers
create  db
create  doc
create  lib
create  lib/tasks
create  log
create  public/images
create  public/javascripts
create  public/stylesheets
create  script/performance
create  script/process
create  test/fixtures
create  test/functional
create  test/integration
create  test/unit
create  vendor
create  vendor/plugins
create  tmp/sessions
create  tmp/sockets
create  tmp/cache
create  tmp/pids
create  Rakefile
create  README
create  app/controllers/application.rb
create  app/helpers/application_helper.rb
create  test/test_helper.rb
create  config/database.yml
create  config/routes.rb
create  config/initializers/inflections.rb
create  config/initializers/mime_types.rb
create  config/initializers/new_rails_defaults.rb
create  config/boot.rb
create  config/environment.rb
create  config/environments/production.rb
create  config/environments/development.rb
create  config/environments/test.rb
create  script/about
create  script/console
create  script/dbconsole
create  script/destroy
create  script/generate
create  script/performance/benchmarker
create  script/performance/profiler
create  script/performance/request
create  script/process/reaper
create  script/process/spawner
create  script/process/inspector
create  script/runner
create  script/server
create  script/plugin
create  public/dispatch.rb
create  public/dispatch.cgi
create  public/dispatch.fcgi
create  public/404.html
create  public/422.html
create  public/500.html
create  public/index.html
create  public/favicon.ico
create  public/robots.txt
create  public/images/rails.png
create  public/javascripts/prototype.js
create  public/javascripts/effects.js
create  public/javascripts/dragdrop.js
create  public/javascripts/controls.js
create  public/javascripts/application.js
create  doc/README_FOR_APP
create  log/server.log
create  log/production.log
create  log/development.log
create  log/test.log

Nos crea por default en la carpeta config de nuestro proyecto un archivo llamado database.yml el cual contiene algo parecido

# SQLite version 3.x
#   gem install sqlite3-ruby (not necessary on OS X Leopard)
development:
adapter: sqlite3
database: db/development.sqlite3
timeout: 5000

# Warning: The database defined as "test" will be erased and
# re-generated from your development database when you run "rake".
# Do not set this db to the same as development or production.
test:
adapter: sqlite3
database: db/test.sqlite3
timeout: 5000

production:
adapter: sqlite3
database: db/production.sqlite3
timeout: 5000

Este archivo nos indica la configuracion que tomara Rails para acceder a la base de datos, podemos observar que nos hacen la indicacion de que hay que instalar sqlite3-ruby esto lo hacemos con el comando.

gem install sqlite3-ruby

Pero si nosotros usamos otra base de datos por ejemplo en mysql, hay que cambiar la configuracion, para poder acceder a mysql y no a sqlite.

development:
adapter: mysql
database: recetario
username: root
password: sigmaboy
host: localhost

# Warning: The database defined as "test" will be erased and
# re-generated from your development database when you run "rake".
# Do not set this db to the same as development or production.
test:
adapter: mysql
database: recetario
username: root
password: sigmaboy
host: localhost

production:
adapter: mysql
database: recetario
username: root
password: sigmaboy
host: localhost

Con esto podemos solucionar el error de

no such file to load -- sqlite3

:D