I think Jayme is working on a newbie guide, but until then -
Download here - http://www.autohotkey.com/download/
Once AHK is installed you can right click on an empty space on your desktop and one of your options will be New > AutoHotKey Script. Select that.
Now you will probably see a file on your desktop with a big green H on it, that is a blank script.
Right click it and choose "Edit"
Now you can paste in the code and save the script and it's ready to use.
Because many of the scripts use functions, and those have to be in the same place as the script to work, I use a folder on my desktop for all my AHK scripts and functions. If a script doesn't say it needs anything extra, like functions, then don't worry about those, but you may want to use a folder anyway so that you don't have AHK scripts all over your desktop.