Can you describe how does Emacs invoke OpenMCL, exactly?  IOW, with
which Emacs command it is invoked, does the invocation go through a
shell (and if so, which shell), etc.

Problem closed.

OpenMCL is started by comint-exec. The process-env variable was trashed by a spurious Slime configuration variable of mine.

You can actually do :

(let ((process-environment (append "foo=bar" process-environment)))
  process-environment)
(102 111 111 61 98 97 114 "TEXINPUTS=.;c:/Home/.emacs.d/elpa/auctex-11.88/latex;" ...

:-( I'm not sure if something can be done at the emacs level to check that this sensitive variable is not destroyed.

For the record, it it useful to know that this 10106 winsock error relates to SYSTEMROOT environment variable being not defined.

Once the environment is properly passed to comint-exec, everything works as expected.

Fabrice