Cross-compiling with SBCL-Collection of common programming errors

SBCL is able to do a cross-compilation, but due to code being evaluated during the process, you need access to the target architecture. SBCL’s build processed is well explained by Christophe Rhodes in SBCL: a Sanely-Bootstrappable Common Lisp .

If you don’t have directly access to a Windows machine, I suppose you could give a try to Wine (I would expect this to fail) or ReactOS inside either an emulator or hypervisor (QEMU, HVM, Xen, you name it…).