Not a great answer but I suspect this is Windows being crap. Lisp and windows have never been that great of an experience. Drakma works fine on my Fedora box.
Also, wrap your code in tick marks:
`(setf drakma:*header-stream* *standard-output*)`
⬇
(setf drakma:*header-stream* *standard-output*)
Appreciate the clarification.