I don't have any experience with commercial Lisps, and all of my experience is roughly limited to SBCL and CLISP. They both worked for me under Windows 7 and Linux, different versions. I don't have enough experience to judge about which is better, however it seems that SBCL has more users / it's easier to find help on SBCL-specific issues then other Lisps, but maybe it's just an impression I've got. I think I followed this article http://www.pchristensen.com/blog/articl ... indows-xp/
when I needed to set up my Windows machine (although, pay attention that download links in the top of the article will be dated, you'll need the same programs, but new versions).