I asked this on #lisp but apparently it was the wrong time of the day since there were only a couple of trolls awake.
So, I’m aware threading is not supported for SBCL on Windows at the moment but what I don’t know is whether anyone is working or has been working on it recently. The best I could find on Google was a GSoC 2008 project by Elliot Slaughter. Now, I could try digging through the SBCL mailinglist archives on SourceForge, but Jesus Christ, I hate using that site since it is so unusable.