You can run a CLIM application using the functions make-application-frame and run-frame-top-level . Here is a code fragment that illustrates this technique:
run-frame-top-level will not return until the application exits.
Note that *application-frame* is not bound until run-frame-top-level is invoked.
For more information, see E.2, Functions for Operating on Windows Directly
Common Lisp Interface Manager 2.0 User's Guide - 20 Sep 2011