I'd very much like to start using these tools, but it seems I'm not smart enough :-(
I've spent hours reading docs, moving folders around and editing config files, but I still cannot start Emacs ...
The easiest way to get started is probably by downloading and running either Lispbox or Lisp Cabinet. Both of them integrate Emacs, SLIME, Quicklisp, and a Lisp implementation in a single package, obviating the need to edit any configuration files.
Note that Lispbox supports Clozure CL only; but while Clozure CL isn't SBCL, it's really pretty similar in look, feel, and library support.