McCLIM's native Windows backend is in a very early stage of development, if not abandoned. You can use McCLIM on Windows with an X server, e.g. VcXsrv or Xming.

A useful step could be for some Windows developers to recommend which low-level graphics API McCLIM should use.

Since none of the McCLIM contributors use Windows, there have been very little work on a Windows backend.

One idea has been to use a common low level interface such as SDL to implement a backend, which would then be very easy to get to work on Windows. Like you said, some Windows developers would have to provide input as to which one would be the most appropriate.

You can pay for LispWorks (inseado of sbcl) and it will run CLIM programs under Windows.

Note that sbcl is just another Common Lisp implementation, you could use others as well.