I am developing a Ruby on Rails application on my Mac OS with "Snow Leopard" 10.6.5 and for this I need to use locally a Hypertext Transfer Protocol Secure (HTTPS) connection.
How can I set my machine to do that? What I have to install?
I presume you're using the built-in web server enabled when you "enable web sharing". That server is Apache, so google for "enable SSL in Apache".
Short form is that it's easy to do but you need a an x509 certificate, a "cert"; a self-generated cert will work but you'll have to tell your browser to trust it.