By default all the documentation is installed.
If you do not want to install the HTML Documentation, select Custom setup in the Setup Type screen and select This feature will not be available in the HTML Documentation feature in the Custom Setup screen.
You can also choose not to install the PDF Documentation, in a similar way.
You can add the HTML Documentation and the PDF Documentation later, by re-running the installer. The documentation is also available at
LispWorks Release Notes and Installation Guide - 23 Dec 2011