I don't find a reason why there isn't an update option in Autohotkey.
I was currently using v .02 whereas the latest is v .04.
So, here is a small script to let you know when there an update for Autohotkey exists.
The script takes into account the registered version of Autohotkey which is responsible for running the scripts when you double-click on them and not the one running this script.
See the code