It seems that Windows now implements a kind of input history for any application that uses the console. This is nice, because it allows ECL users that directly work on a terminal window to recall previous commands, using just the arrow keys -- a limited form of what "readline" does for you --.
On a side note, the next release of ECL will ship with a small script to install quicklisp in the installation directory. It will be as simple as using (require :ecl-quicklisp) from the Common Lisp prompt. ECL will download the installation file and run it for you with the appropriate paths.