I am running Windows versions Emacs and CLISP.
If I have temporary-file-directory set to "~/temp", slime loading will report
;; Loaded file C:\Users\977315\documents\.slime\fasl\2013-09-29\clisp-2.49-windows-x86\swank.fas
...
*** - OPEN: Directory #P"C:\\Users\\...\\documents\\.emacs.d\\~\\temp\\" does not exist
I set temporary-file-directory to an absolute path, such as
""c:/Users/.../AppData/Local/Temp/"
slime loads OK.