Foreign object files can be loaded into the running Lisp process by calling the functions load-foreign or load-1-foreign.
The sb-alien:load-1-foreign function is the more primitive of the two operations. It loads a single object file. into the currently running Lisp. The external symbols defining routines and variables are made available for future external references (e.g. by extern-alien). Forward references to foreign symbols aren't supported: load-1-foreign must be run before any of the defined symbols are referenced.
sb-alien:load-foreign is built in terms of load-1-foreign and some other machinery like sb-ext:run-program. It accepts a list of files and libraries, and runs the linker on the files and libraries, creating an absolute Unix object file which is then processed by load-1-foreign.
Note: As of SBCL 0.7.5, all foreign code (code loaded with load-1-function or load-function) is lost when a Lisp core is saved with sb-ext:save-lisp-and-die, and no attempt is made to restore it when the core is loaded. Historically this has been an annoyance both for SBCL users and for CMU CL users. It's hard to solve this problem completely cleanly, but some generally-reliable partial solution might be useful. Once someone in either camp gets sufficiently annoyed to create it, SBCL is likely to adopt some mechanism for automatically restoring foreign code when a saved core is loaded.