You need FreeGLUT rather than classic GLUT.
Thanks, that was the last piece of the puzzle. For the record, the entire set of steps I went through was:
File->Load-> C:\Lisp\Tools\quicklisp.lisp - only needs to be done once. or CL-USER 1 : 1 > (load #p"C:/Lisp/Tools/quicklisp.lisp")
CL-USER 1 : 1 > (quicklisp-quickstart:install) - only needs to be done once.
CL-USER 2 > (load #p"c:/documents and settings/username/quicklisp/setup.lisp") needs to be done every time in LispWorks Personal Edition, which doesn't support init files.
CL-USER 3 : 1 > (ql:quickload :cl-opengl)
CL-USER 4 : 1 > (ql:quickload :cl-glut-examples)
CL-USER 5 : 1 > (cl-glut-examples:list-examples) CL-USER 6 : 1 > (cl-glut-examples:gears)
cl-opengl-devel@common-lisp.net