I'll take a shot at answering your question.
(1) I'm pretty sure you have to download and untar the source code.
This link should work:
(2) After expanding the source code, you'll need to create a file
named "customize-target-features.lisp" and place it in the main sbcl
directory (which contains files like BUGS, COPYING, CREDITS, etc.).
In the customize-target-features.lisp file, place the following:
(flet ((enable (x)
(pushnew x features))
(setf features (remove x features))))
;; Threading support, available only on x86/x86-64 Linux, x86 Solaris
;; and x86 Mac OS X (experimental).
(3) Build sbcl by typing "sh make.sh" from that directory
At this point you should have an image of sbcl that contains the
(4) Executing "sh run-sbcl.sh" from the main sbcl directory should
start said image.
The directions for step (2) are also included in file INSTALL, which
is in that same directory. Also, I'm presuming that you have the
standard set of LINUX build tools and a working sbcl binary in your
path named "sbcl", which may not be the case. The process is also
documented in section "Compiling SBCL from Source" here: