I've saved executable images of SBCL and CCL on Windows and they're available as "okra-20090910.zip" from the Okra project page (http://common-lisp.net/project/okra/).
This should make it easier for people on Windows to start playing with Okra since it comes with all the necessary libraries. Just double-click okra-sbcl.exe or okra-ccl.exe and you should be looking at a Common Lisp REPL with Okra installed. If you enter:
(load "examples/flock")
or
(okra::okra-window)
You should end up with a running demo in the first case and a blank window in the second.
You do need to have DirectX installed though, unless you initialise the Okra window for OpenGL.
Also this is a first release so there's some warts. The physics-and-input demo doesn't work (and isn't included) since I initialised Okra with CEGUI and that clashes.
If you load these executables from your IDE or Slime instead of your regular implementation you should make sure the libraries can be found!
Hopefully this makes it easier for people (on Windows for now) to play with Okra.