BTW: I very often supply the eof-value explicitly, for reasons of
clarity.

- The most obviously mistake lies in your use of setf to establish a
  new variable.  In the absence of any binding, this will be treated
  as a reference to a global special variable, which you don't want.
  Use let to introduce local lexical variables.  Once such a binding
  exists, you can alter the value of the binding via setf & friends,
  if you want to.

- The variable names are distinctly unlispy:  Since CL (and Scheme)
  allows useful separator characters in symbols, and your environment
  relieves you of the burden of retyping long names, you are free to
  use long, self-descriptive names.

- Wrap your code fragment in a function definition, and you get a
  ready made line-counting function for free...

- While working with low-level looping constructs can be instructive,
  most programmers would use a higher-level looping construct to
  more clearly express the intent of the code.

- Don't print the result yourself, since the surrounding code or the
  top-level read-eval-print loop will already do this for you

- Use documentation strings to document your functions

Given all of the above, your function might be written like this

  (defun count-lines-in-file (filename)
    "Count the lines in the file indicated by `filename'."
    (with-open-file (stream filename :direction :input)
      (do ((line-count 0 (1+ line-count)))
          ((null (read-line stream nil nil)) line-count))))

Or, using the extended loop facility:

  (defun count-lines-in-file (filename)
    "Count the lines in the file indicated by `filename'."
    (with-open-file (stream filename :direction :input)
      (loop while (read-line stream nil nil)
            sum 1)))

Or, using simple loop, like you did:

  (defun count-lines-in-file (filename)
    "Count the lines in the file indicated by `filename'."
    (with-open-file (stream filename :direction :input)
      (let ((line-count 0))
        (loop
          (if (read-line stream nil nil)
              (incf line-count)
              (return line-count))))))

Beware that all of the code is untested, though ;)

Regs, Pierre.