AutoHotKey is a scripting language. It's not a program with an interface, it's an interpreter. That means it needs a script to run. You create a script in Notepad or any plain text editor, save it as an .AHK file, and then you can run it.
An example script that can be created in Notepad:
; The next line means Ctrl+Alt+A. This line is a comment.
^!A::
Run "wordpad.exe"
Copy/paste the 3 lines into Notepad. Save it as WordPadShortCut.ahk and then you can double click on it to run it. While it's running, you'll see it in the tray and can close it out by right clicking on it and choosing Exit. While it's running, pressing Ctrl+Alt+A will open Wordpad.
If you like the script, you can then right click...