This is what I had to do in order to get through several errors for missing SDL DLL's and FFI.H header.
1. Install Cmder using Chocolatey: https://chocolatey.org/packages/Cmder
2. Download and copy all the SDL, SDL_image and SDL_ttf DLL's to SBCL's .exe folder:
a. https://www.libsdl.org/download-2.0.php
b. https://www.libsdl.org/projects/SDL_image/
c. https://www.libsdl.org/projects/SDL_ttf/

4. Download and copy the precompiled libffi folders include and .libs to the mingw64:
a. Download the precompiled from here:
i. https://proj.goldencode.com/projects/p2j/wiki/Building_and_Installing_libffi_on_Windows
b. Copy the include and .libs folder here:
