If you want to compile it, you need a Common Lisp implementation. SBCL, CLISP, and Clozure CL can usually do it, though SBCL is the most reliable and well-tested.
There are binary versions available for download, too. They've been precompiled with an existing CL compiler.
Most likely you are right that you can install without already needing Common Lisp for your particular platform, but that is not always the case. http://www.sbcl.org/porting.html