If you are trying to setup SLIME in Windows it is fairly a simple job now.
I have used SBCL version 1.0.6 and XEmacs 21.4.20 in this example.
Following are the steps that you need to perform for a minimal setup of SLIME:
1. Download and install XEmacs.
2. Download and install SBCL in a directory, say C:\SBCL.
3. Download and unzip SLIME in a directory, say C:\SLIME. Make sure you have the directory names noted correctly.
4. Edit your init.el file and put the following lisp codes there:
(setq inferior-lisp-program "c:/sbcl/sbcl.exe")
(add-to-list 'load-path "c:/home/site/slime-2.0/")
This is it you sould have the SLIME working for you. :-)