Here's a set of trivial convenience functions which compile the other answers. Be aware that many older systems, such as Commodore 8-bits and 68K Apple Macintosh, used only Return (ASCII 13) for line endings. Thanks to @frank-shearar for mentioning the unexpected behavior of SBCL.

(defvar *crlf*
        (concatenate 'string #(#\Return #\Linefeed))
        "DOS line ending sequence.")

(defun dos-line (string)
  "Append the DOS line ending sequence to STRING."
  (concatenate 'string string *crlf*))

(defun dos-line-p (string)
  "Does STRING have the DOS line ending sequence?"
  (eql (- (length string) (length *crlf*))
       ;; SEARCH works for any sequence, but probably isn't the fastest
       (search *crlf* string :from-end t)))

(defun ensure-dos-line (string)
  "Ensure STRING ends with the DOS line ending sequence."
  (if (dos-line-p string)
      string
      (dos-line string)))

;;; Tests
;;; Just load the file like this:
;;;   sbcl --script dos-lines.lisp | hd
(let* ((s1 "Foo the bar!")
       (s2 (ensure-dos-line s1)))
  (assert (equal (format nil "~A~C~C" s1 (code-char 13) (code-char 10))
                 s2))
  (princ s2))