I was actually trying to do this today, and I found typing this into the CLisp REPL worked:
(EXT:SAVEINITMEM "executable.exe"
:QUIET t
:INIT-FUNCTION 'main
:EXECUTABLE t
:NORC t)
where main is the name of the function you want to call when the program launches, :QUIET t suppresses the startup banner, and :EXECUTABLE t makes a native executable.
It can also be useful to call
(EXT:EXIT)
at the end of your main function in order to stop the user from getting an interactive lisp prompt when the program is done.
EDIT: Reading the documentation, you may also want to add :NORC t
(read link). This suppresses loading the RC file (for example, ~/.clisprc.lisp).