OK, I think I know why. The 0.9 release was not really well packaged.
Do you have subversion on your machine? If you have you can get the current code and try it. I have tried myself on a fresh machine, and it works! ;)
Here is the line which will create a “parlement” directory: svn checkout svn://rubyforge.org/var/svn/parlement
What is your OS?
+1