You're trying to build from source? Make sure you have compiled and installed GameKernel, or at least put its libgk.so somewhere SBCL can find. Don't forget to ldconfig as root. Note that the default installation is in /usr/local/lib, but not all distros have /usr/local/lib in /etc/ld.so.conf by default. The alternative is to just set LD_LIBRARY_PATH to where it's built/installed/etc before starting SBCL.
If you're trying to run the binary, try the latest (as of writing, 1.0e), wherein I've included all the C++ runtimes and made a startup script to set LD_LIBRARY_PATH automatically.