How can I point the DNS in order to have /blog and / in 2 different servers?
One of them is on PHPFog (PHP hosting) and the other on Heroku (Rails Hosting).
Essentially, you can't; that's not an issue for the DNS, because it only handles hostnames, not HTTP pathnames on a given host. Your choices include
1) would be much easier, if you're not wedded to example.com/blog.
I don't think DNS is what you need to look into to make this happen. I think you'll need to have a redirect setup, if memory serves me right.
You configure this on your webserver.