Modules serve a dual purpose as a holder for functions and as a namespace.  Keeping classes in modules is perfectly acceptable.  To put a class in a separate file, just define the class as usual and then in the file where you wish to use the class, simply put require 'name_of_file_with_class' at the top.  For instance, if I defined class Foo in foo.rb, in bar.rb I would have the line require 'foo'.
If you are using Rails, this include often happens automagically
Edit: clarification of file layout
#file: foo.rb
class Foo
  def initialize
    puts "foo"
  end
end
...
#file: bar.rb
require 'foo'
Foo.new
If you are in Rails, put these classes in lib/ and use the naming convention for the files of lowercase underscored version of the class name, e.g. Foo -> foo.rb, FooBar -> foo_bar.rb, etc.
As of ruby version 1.9 you can use require_relative, to require files relatively to the file you are editing.