How can I simply "run" lisp files
Executables
SBCL can save executable images, as Greg Harman mentions (see the :EXECUTABLE keyword): http://www.sbcl.org/manual/index.html#Saving-a-Core-Image
Scripts
Lisp files can be executed as scripts, see: http://www.sbcl.org/manual/#Shebang-Scripts
Command Line Options
SBCL has command line options to evaluate/load lisp code on start: http://www.sbcl.org/manual/#Command-Line-Options
SLIME
SLIME is an Emacs interface for Common Lisp. One can use SBCL via SLIME from within Emacs. Many people prefer Emacs Lisp listeners over typical shell interfaces.
Most Common Lisp implementations have similar capabilities. For details consult their manual or ask here for specific implementations.
A few minutes ago someone replied with an answer nearing what I was looking for.
The reply linked to http://www.sbcl.org/manual/Shebang-Scripts.html which was a great help in figuring out my solution. Whoever it was shouldn't have removed their answer as I was about to mark it as correct ;)
My final solution was to create a batch script that is linked through normal program file association as the program to open .lisp files (Right click file->Properties->Opens With->[Change]).
@ECHO OFF"C:\Program Files\Steel Bank Common Lisp\1.0.37\sbcl.exe" --script %1When you double click files in explorer it executes them and when you run them in the command line it does the same.