A few minutes ago someone replied with an answer nearing what I was looking for.

The reply linked to http://www.sbcl.org/manual/Shebang-Scripts.html which was a great help in figuring out my solution. Whoever it was shouldn't have removed their answer as I was about to mark it as correct ;)

My final solution was to create a batch script that is linked through normal program file association as the program to open .lisp files (Right click file->Properties->Opens With->[Change]).

@ECHO OFF
"C:\Program Files\Steel Bank Common Lisp\1.0.37\sbcl.exe" --script %1

When you double click files in explorer it executes them and when you run them in the command line it does the same.