Rui:
Get the pre-19a binary snapshot from here:
ftp://cmucl.cons.org/pub/lisp/cmucl/snapshots/2003/11/
And get the source tarball, too. These snapshots have (and the next official release will have) support for callbacks on x86. Anyone interested in callbacks on the SPARC who wouldn't be able to write the assembly-language trampoline, can ask me for my callbacks module, or bug me to port the one in CVS. You'll have to look at the comments and docstrings in src/code/alieneval.lisp for details on how to use DEFCALLBACK and CALLBACK, because they're not documented in the manual yet.
Since UFFI doesn't support callbacks, you'll have to use ALIEN:DEFCALLBACK directly, or add callback support to UFFI yourself. This should be enough to get you started -- if you run into problems, crosspost your questions to here and cmcul-help.