Here's a few quick replies. I don't believe the personal edition permits the use of an init file, so for now you'll be doing things 'the hard way'.
* Click the File->Load menu on the main LispWorks menu (or podium) and browse respectively to your "asdf.lisp" and "cl-ppcre.asd" files.
* Load the asdf-integration as before.
* On the menu/podium again, click the icon for the "System Browser".
* The ASDF integration is not obvious. Look along the right hand side of the System Browser for the three buttons, of a checkmark, an X and some question marks. Click the question marks and you will be able to select from the available ASDF and LW systems.
I think there's a glitch in the System Browser. If you close and reopen it, you'll probably see all loaded Systems displayed. You should be good to go as far as loading CL-PPCRE (although your next stumbling block might be understanding Packages).
As to the choice of EXAMPLE-FILE as a name, my guess is that the ASDF integration provided by LW was originally a chargeable support incident (a couple of mine are in the examples too) and that this function is just a general convenience for loading examples.
BC
p.s. Your feelings about fighting LispWorks are understood. I had a heck of a time getting started, mainly because I had never travelled in the 'Land of Lisp'!