I downloaded and ran install.sh on Windows XP + Cygwin.
when I run sbcl it complains that it can't find sbcl.core, which is in
the default location /usr/local/lib/sbcl. OK, so I tried
bash$ export SBCL_HOME=/usr/local/lib/sbcl
but sbcl still complains that it "can't find core file".
Since the instructions don't mention any windows specifics (e.g. paths
like "C:\windows\sucks") I assumed that the win32 port was suppose to
run under cygwin.
If anyone wants to help feel free to jump in and say something.