Not at all with Scheme. PLT Scheme is an awesome example of a centralized, well documented language with easy installation and application deployment.
Note the prominent download link on the home page: http://www.plt-scheme.org/
Please ignore the troll article. Anybody interested in a programming language can google for implementations and compare them. I don't understand why there needs to be a single lisp.exe binary.
The abundance of Scheme implementations is actually a good thing: there is a scheme for every n-choose-r machine configurations :-)
http://community.schemewiki.org/?scheme-faq-standards#implem...
This is a 'problem' for languages with no single implementation that's easily solved by Google. "common lisp download" gives the CLISP site as top hits which is a good CL to start with.