Choose File > Exit to exit LispWorks.
You can control whether LispWorks prompts for confirmation before exiting, using Tools > Preferences... . The Confirm Before Exiting preference has these meanings:
LispWorks exits immediately.
When modified buffers
If there are modified editor buffers, a dialog asks you whether these should be saved before exiting.
A dialog asks you to confirm whether LispWorks should exit.
LispWorks IDE User Guide (Windows version) - 25 Nov 2011