For a language as old as Lisp, there are a surprising number of queries asking how to set up a Lisp environment. If you’re a Lisper, your answer to this is probably Emacs/Slime/Quicklisp and one of the Lisp systems such as SBCL.
Baggers, who has several videos about Lisp, posted a nice video on setting up an Emacs/Slime/Quicklisp/SBCL system. He does this on a Windows system because it’s the most difficult system to get things going on. If you’re using Linux or macOS, the process is similar but not quite as fiddly. The video covers the whole process starting with downloading a copy of Emacs, setting up slime, downloading SBCL and installing Quicklisp.
I’ve often said that if you’re looking for a great Common Lisp system, it’s hard to do better than SBCL but n00bs may find it difficult to get things set up and working. Baggers’ video is an excellent how-to for setting up a Lisp system from scratch.