From searching it appears to be a recurrent problem:Ohhhh! I was thinking that where it says "Download Autohotkey Installer" at the top of the installer page, that that is just a graphical heading for the page (not the actual button to press to download the installer!) and that the download is the zip file below it. I'm usually pretty intuitive about these things. I thin it would help to clarify that for new users. Anyway, happy you figured it out. Thank you for your help.
I think it's reasonable to assume that there were many more people who downloaded the zip file, didn't know what to do with it and just gave up on Autohotkey.
The download button in my opinion does indeed look more like a "graphical heading for the page" and not something you're supposed to click on.
This can be easily solved by making the button a simple link(making it look like "Download AutoHotkey .zip"). Of course many other options exist. From what I could see in one of those threads it was already changed from "Download AutoHotkey" to "Download Autohotkey Installer" but that's all it was, a change not a solution.