The profiler has two distinct modes. You can use both in the same session, but not at the same time.
To use either mode, you must first call set-up-profiler to load the profiler and set its parameters including the output format.
The macro
profile simply profiles all processes while a body of code is run, as described in Using the macro profile. Start profiling this way if you don't see a need to use the alternate mode.
Alternatively the functions
start-profiling,
stop-profiling and
set-process-profiling offer programmatic control over when profiling occurs and which processes are profiled. This is described in Programmatic control of profiling.
The function
do-profiling is a convenience function which allows you to profile multiple threads using start-profiling and stop-profiling.
LispWorks User Guide and Reference Manual - 21 Dec 2011