Chris Bagley (Baggers) has a nice video from last year on installing a Common Lisp development enironment on Windows. He walks us through installing Emacs, Slime, SBCL, and Quicklisp on a Windows machine. That includes defining a working directory and adjusting the path. If you find yourself condemned to work on Windows and would like to set up a Lisp environment, this is the video to watch. If you're a n00b and want to learn Lisp on a Windows machine, this is the video to watch.
You've still got to learn Emacs and Slime but when you do you have one of the best Lisp environments available. Speaking of Slime, Bagley has another video on using Slime. This demo appears to be on a Linux machine with a dark theme so it's a bit hard to see but it's really excellent. Watch it and try the things he demonstrates on your own machine and you're well on your way to mastering the Emacs/Slime environment.
Bagley has some other videos that I'll probably write about later. In the mean time, these two videos are an excellent way to get up to speed.