Updating SBCL on Windows
Download the new installer, http://prdownloads.sourceforge.net/sbcl/sbcl-1.4.14-x86-64-windows-binary.msi. Run the installer, the old SBCL is removed and the new one is installed. I had a few dll which I placed next to my sbcl.exe which remained in the old location. I moved these to the new location. The SBCL_HOME was also reset to the new location.
My .emacs file slime-lisp-implemenations is written in terms of SBCL_HOME so it, just works.
(setq slime-lisp-implementations
`(
;; Add SBCL if present
,(when (getenv "SBCL_HOME")
(cond ((eq system-type 'windows-nt)
`(sbcl (,(convert-standard-filename (concat (getenv "SBCL_HOME") "sbcl.exe"))
"--noinform")))
(t nil)))
;; Add more LISPs here..
))