I would recommend taking a look at any ASDF tutorials out there.
An outdated guide is found at
http://nunb2.blogspot.com/ (read the
oldest post first) and it's geared towards unix, so it may help you
layout what goes where.
Note: usually .asd files are linked from a systems directory (somewhat
like /usr/src/linux-headers) to a source directory (where the .lisp
files are stored), and various Lisps may have issues with this on a
Windows platform.