This tutorial assumes you have installed binary version of SBCL downloaded from http://www.sbcl.org/platform-table.html
Also, it assumes you have Msys2 installed. https://www.msys2.org/ And all the tools needed for compilation are there.
On top of that I used Windows cmd started from a bat file that adds Msys2 paths.
I have pulled the latest source and compiled it. The usual command has worked
sh clean.sh sh make.sh --dynamic-space-size=4Gb
The install script sh install.sh
is not built for Windows.
I went to
http://wixtoolset.org/releases/
And clicked on a button DOWNLOAD WIX 3.11.1
That lead to the page where I could select the exe file.
After installing Wix I had to restart computer.
After installing I had to run
sh make-windows-installer.sh
After running that in the output folder I could see the *.msi file.
Clicking on it has ran the installer. I have completed the installation and went to the next step.
c:/ $ sbcl --version SBCL 1.5.1 c:/ $
Success!