I found getting slime (superior lisp interaction mode emacs) up and running in emacs a little difficult. You do want slime, but the barrier to entry is a little high if you don't already know emacs--or even if you do!
Luckily, there's a much easier way.
Just download Lisp in a Box. It's a little tricky because they give you a table of Operating Systems and lisp implementations. My suggestion is to choose the Windows-CLISP combo in the lower right-hand corner, version 2.37--I found CLISP to be the easiest implementation to use.
Paul Graham uses Clisp too, which is good enough for me.
Once you've downloaded LispBox, just let the thing automagically install itself and then click on the BAT FILE file to run slime.
Good luck