It might help if you think of a Lisp environment as a command-line shell - just with an awesomely powerful shell language.
The standard way to run a Lisp application, therefore, is to start the shell and load the application from within it. Some applications will automatically start running when you do that, while others need you to explicitly start them up by calling a specific function. If it came with documentation, that should tell you - otherwise, you're stuck with reading the source-code.
It's quite possible to tell the Lisp environment to run arbitrary commands when you start it up, though the process varies between implementations. This is pretty much a need-to-bother deal: if you don't need it, you generally don't bother
You'll need to know at least a little about Lisp, but fortunately Peter Seibel wrote an intro in the form of Practical Common Lisp: http://www.gigamonkeys.com/book/
. The whole thing's available online at that URL, though I think most of us wound up buying the dead-tree version.