With C: without the slash, you only change the drive and to the directory which was current on C: before. If you want to change to root of C: do "C:\\" or "C:/". This is standard MS Windows behavior.
The manual suggests that import uses search paths: "If the library is not located in the normal library search path, str-lib-name must contain the full path name." but that file? just checks for file/directory existence.
'file?' must have the full path-name specified. At least on Windows XP libgmp-3.dll is not installed by default and because of this, the full path-name has not been specified for libgmp-3.dll in the source of the gmp.lsp module.
You can either put libgmp-3.dll into the current directory to make the 'file?' statement in the module work on it, or you can change the path in the module to whatever location the DLL is installed on your machine.
A sentence has been added to the documentation clarifying this: