You probably should not be using GCL. I don't believe it is really maintained anymore, and it doesn't fully conform to the ANSI standard. SBCL
is one of the more commonly used open source Common Lisp implementations.
Lambda is not a macro in this context, and calling functions in value space (such as those passed as arguments) doesn't work like this in Common Lisp. I suggest reading a book like Practical Common Lisp
where this is explained in detail.