You will need S-Lang installed before loading sb-screen, and you need libslang.so visible somewhere in your linker path. If you have libslang.so.1, a symlink to libslang.so should do (or install your distribution's -dev or -devel package, which is normally responsible for providing such things).
sb-screen also comes with a wrapper around the SBCL REPL. To use it, once sb-screen is loaded, run (screen-repl:start-repl). Send a Control-D to terminate the REPL.