I've published a new binary build of SBCL with Windows threads support at https://sites.google.com/site/dmitryvksite/sbcl-distr/sbcl-1.0.40-threads-2.msi.
I would greatly appreciate it if you would run the tests on your machines (the tests that I've used for debugging are at http://gist.github.com/582848) and report back the results.