Thank you very much for your help and the pointers. I downloaded the file, compiled and loaded it and xemacs promptly reported "Unable to find file inf-lisp". OK, fine. Googled for inf-lisp.el and found it in the emacs cvs. Downloaded, compiled, and loaded - got "Unable to find file comint". ???
At this point I got the feeling that I was missing something mind-booglingly important. Sort of like when Aurther Dent talks to Ford Prefect.....
I went back to the cygwin setup program and noticed that I hadn't installed a package called "xemacs-sumo: Xemacs standard packages".
When I installed that package I was able to (require 'slime). Slime compiled all of its little bits with some complaining but it didn't die so I count myself lucky.
Thanks again, --dennis