I'm using SBCL on Windows. I got an error When I attempted to connect MYSQL using CLSQL like this.
(ql:quickload :clsql)
(clsql:connect '("localhost" "database-name" "database-user-name" "password")
:database-type :mysql)
Couldn't load foreign libraries "libmysqlclient", "libmysql". (searched CLSQL-SYS:*FOREIGN-LIBRARY- SEARCH-PATHS*: (#P"C:/Users/Razenrote/AppData/Roaming/quicklisp/dists/quicklisp/software/clsql-20140316-git/db-mysql/"))
A note at the bottom of the clsql home page (http://www.cliki.net/CLSQL) addresses your issue.