Turns out I was completely wrong: all I needed was a simple
CL-USER> (load "http://beta.quicklisp.org/quicklisp.lisp") [!!]
Quicklisp downloaded all its data nicely into my home directory (which - on ABCL/Win - is C:\Users\
CL-USER> (load "c:/users/erik/quicklisp/setup.lisp")
That's it. That's all. No bumpy ride. No ABCL issues. It Just Works!
[!!] Warning: you may not want to do it that way, since it will execute the code from the web UNSEEN by you; you won't have a chance to see any security attacks on your PC by anybody slipping in a file which contains the lisp equivalent of "FORMAT C: /Y"