Emacs: missing paredit and zenburn. Solution: ELPA.

To have the functionality of the paredit, zenburn and other extensions of the Emacs, there is an easy way to add them to the Lisp Cabinet. Just use ELPA, which is available in the Lisp Cabinet already.

So do following steps:

"...type  M-x package-list-packages. Type r in the package menu buffer to update the list of packages available from the server. If you want a particular package, type i next to its name to mark it for installation, and then x to download and install it."

Windows: Lisp Cabinet, Quicklisp, Lispbuilder-SDL.

There are many ways to provide Lispbuilder-SDL on Windows platform for SBCL.
I present the simplest one I found.

1. Install Lisp cabinet. I installed SBCL version only.
2. Run it (choose SBCL version in the dialog) and in SBCL REPL run the command (lisp-cabinet:load-quicklisp)
3. Now we have almost everything done and the only lacking part is the Lispbuilder-SDL itself. To install it:
1. Get the runtime of SDL library and put SDL.dll file, say, to C:\WINDOWS\ folder.
2. Install the Lispbuilder-SDL with the following command in REPL: (ql:quickload "lispbuilder-sdl")

Voilà.