Applications that you build with LispWorks for Windows require the Microsoft Visual Studio runtime library msvcr80.dll, so you must ensure it is available on target machines. It is part of Windows Vista, but for earlier Windows operating systems you should use the Microsoft redistributable mentioned below.
At the time of writing, the redistributable vcredist_x86.exe for use with for LispWorks (32-bit) applications is freely available at
http://www.microsoft.com/downloads/details.aspx?familyid=32BC1BEE-A3F9-4C13-9C99-220B62A191EE&displaylang=en
The redistributable vcredist_x64.exe for use with LispWorks (64-bit) applications is freely available at
http://www.microsoft.com/downloads/details.aspx?FamilyID=90548130-4468-4bbc-9673-d6acabd5d13b&DisplayLang=en
Run the redistributable from your application's installer, or tell your users to run it directly themselves before running your application.
LispWorks Delivery User Guide - 15 Feb 2015