Ah!. I just read SBCL threading is only supported on 2.6 kernels, and I am using a 2.4. Thanks.
Sergio
I upgraded to a 2.6 kernel, and the error message stopped. However, the problem changed. Now, the browser just freezed, and in the sbcl REPL I got:
WARNING: recursive lock attempt #S(SB-THREAD:MUTEX :NAME "session-data-lock" :LOCK 0 :DATA NIL :VALUE 5041)
I had a look at the code of session, and it seems to me that setting-f a session-value when a session has not been created, creates a nested "with-lock-held" on a same object by calling start-session. I just put a start-session at the beggining of the session test, and it seems to work fine now. Is this right?