Ask on the #lisp IRC channel on freenode about whether the SBCL win32 port is complete enough for your purposes. It's coming along. Remember to ask your question and then leave the chat idling, so that if your question isn't answered right away, people who have left it idling and then come back to it can see your question and then answer it.

I believe CLISP runs on Windows. I have no idea whether this is at all practical, since I don't use Windows, but maybe you could use a Unix emulator like Cygwin and run SBCL (and your game) in that, invisibly to the user?