I usually use SBCL, slime and, emacs on Windows 11 OS. Compiling SBCL from source using the msys2 system has worked for years. Today, monthly source releases of SBCL typically include compiled Windows MSI.
The release of quicklisp, in 2010, has made finding the source for Common Lisp packages much easier. Zach Beane's quicklisp distribution of Common Lisp source software has made the difference. The ultralisp distribution allows work to be done between quicklisp monthly releases.
Finding external libraries that work with Common Lisp foreign function interfaces as drop-in compatible with Linux and MacOS versions is the norm for most cases. My most difficult case is with SDL 2 which has API interfaces built from specific compiler interfaces that are hard to find on Windows despite SDL 2 having native Windows binaries.