Wasp Lisp, like its predecessor, Mosquito, is designed to run with a minimum of fuss on a wide range of platforms, including Windows. Wasp fusses even less than Mosquito, in fact.
Simply extract the WaspVM standalone Window package somewhere convenient.
Double-click on the wasp executable file. A command window with a REPL should open up. If you create a shortcut to the wasp REPL, make sure you set the starting directory to match the directory containing wasp.exe. Enjoy!