Femlisp can link to two sparse direct solvers, namely SuperLU or UMFPACK. It is reasonable (but not strictly necessary) to install at least one of those as a shared library on your system. After you have done that, you have to compile the glue programs superlu.c and/or umfpack.c in the directory femlisp/interface. This can be done by issuing the commands
make superlu
or
make umfpack
from within the femlisp directory. If these commands cannot figure out the path to the libraries, feel free to edit the Makefile in femlisp/interfaces according to your needs.