Hi,
this question is a bit general ;). OS version would be a nice detail. I 
would suggest installing slime (http://common-lisp.net/project/slime/) 
the rest is easy.
For windows a .emacs could look like:
(add-to-list 'load-path "C:\\home\\slime\\")
(require 'slime)
(setq inferior-lisp-program "c:/clisp/full/lisp.exe
                                 -B c:/clisp/full/
                                 -M c:/clisp/full/lispinit.mem
                                 -ansi -q")
(slime)
For unix flavours change accordingly.
Setting up asdf/asdf-install is somewhat more complicted at least on 
windows. Searching c.l.l or google will provide enough informations, though.
Cheers
-- Mario
Why don't you state what kind of operating system and cpu architecture
you're using?
Slobodan