I have made my first steps in CL not so long ago, and I can understand your confusion. Well, I'll try to help, also keep in mind I've not gone much further then you, except for I feel comfortable with the IDE I have.
First, I do use Emacs on Linux, and I'm using it for many other things as well, not only Common Lisp. Emacs can do way too many things you would not even expect from your average text editor, but it may be very confusing (and hey, there are people who know Emacs and they still don't like it! So it's really the matter of preference).
Now, if you are a Windows user with zero Linux experience and you don't remember the times when Norton Commander was the way to navigate the file system... then probably it's good that you start with Eclipse. Eclipse on Windows isn't what it is on Linux. On Windows it's reasonably fast, way less buggy and it sort of fits into what you would expect a Windows program to do. It has nice interface with lots of buttons, forms, pop-up windows etc. In Linux Eclipse is a well-known CPU-hog and virtual memory thief. It's also extremely buggy and sluggish. Besides, it's trying to do things the Windows-way (i.e. it has poor command-line interoperability, but instead it offers ton's of pretty GUI stuff, which isn't really traditional there).
So, if you happen to have previous Eclipse experience it may be better that you start in there, but keep in mind, Emacs is a better (or, at least, more traditional) environment for Lisp, especially so because other IDEs for Lisp are mostly trying to mimic it in important aspects.
Now, there was another confusion (I also eventually ran into eLisp, aka Emacs Lisp, documentation when searching for Common Lisp documentation and it was confusing). So, Lisp is a general definition that describes several languages. Some are more frequently used, some are less common. Lisp is distinguished by the use of S-expressions (symbolic expressions - a writing form, where the name of the function is aligned to the left paren, and it's arguments are following on the right until meeting the right paren), which is the basic syntax element of the language. Even if someone develops a language based on S-expressions, and it has very little to do with other Lisps, they would say it's `like' Lisp (for example, Register Transfer Language, aka RTL). So, there is Emacs Lisp, which is a different language, it is still Lisp, but it's the language that Emacs (the program) is written in. If you use Emacs, then, eventually, you will write in this language some times, when, for example, you would want to configure something specific about the program. There is Shceme, another known Lisp, there's AutoLisp (the language used to automate AutoCAD), yet another Lisp.
Lisp is very old (older then me!) and you would have to deal with that some things will look more like history, then actuality. Well, on the other hand many of those things are still valid today, isn't that cool?
One more point re' IDE (which would be uncommon for someone from, for example, Java background) it's the concept of REPL (Read Eval Print Loop). This isn't only the way Lisp internally works, this is also the way you are writing the code. What I mean is that you must have it in your editor, or else it's not really a Lisp editor. In layman terms, REPL is a console window where you can type bits of your program and see them execute. SLIME (Superior Lisp Mode for Emacs) is a program, that beside other things helps you interact with REPL. It `knows' how to send certain pieces of your code to the Lisp interpreter and how to get the information back. So, for example, it may show you the function or macro parameters as you type (because while you type it can send a (describe 'your-function) code to Lisp interpreter, and it would reply with the description of the 'your-function function. SLIME will then parse the description and will display it to you.
After all, hey, Linux is free! Why would you not install it side by side with Windows at least to try? This won't only help you to program in Lisp, it would also explain some of the concepts in Emacs. It would also help you to grasp some things intuitively (like, how to get command line autocompletion, how to search for text inside files etc.) There's Wubi (Ubuntu packaged to run inside Windows) you don't even need to re-partition your hard drive to use it, it runs just like a regular program.