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