On Windows XP SP3 I tried to load quicklisp.lisp using mkcl an it errors out near the bottom of the file at:
(setf *default-pathname-defaults* (truename *default-pathname-defaults*))

Apparently *default-pathname-defaults* defaults to "".  Is that intentional?  From the hyperspec it says that it's implementation dependent but that many will store the path where the repl was started in.