This is a known issue with SBCL for Windows, I faced it myself several months ago.

In case somebody wants these (and other Windows issues) to be fixed, the first step is to dig a bit and prepare the SBCL-only test case (in other words, find the broken SBCL functionality and show why do you think it is broken). Report your findings to LP, and wait until somebody is ready to work on it. Speaking for myself, I often try to fix SBCL bugs "just for fun", as well as other people do, so the probability to get the fix in several weeks after the report is high.