Installed mcclim-0.9.4 for openmcl. Used the asdf method. Had to launch X11 and run emacs and openmcl from an xterm. Then I

(require :clx)
(require :mcclim)

and the demo's finally ran. Woo hoo. I am a bit concerned that I won't be able to make mcclim work on Windows XP, but I have no installed on Mac OS X and Ubuntu fiesty, so I will go ahead and learn how to do graphics with CLIM.