oops, a little change to the instructions for trying it out:
you need some more files, so just get the repository, its pretty small.
 
> git clone git://github.com/tinku99/ahklisp.git
and put ahklisp.exe and autohotkey.dll into the ahklisp directory and then  from the shell do
> ahklisp.exe --userinit clinit.lisp

Naveen
http://www.ahklisp.com