Before AutoHotkey can do anything, you need to write a script telling it what to do.
To learn how, read the tutorial or dive straight in.
Basically: create a script file → add some hotkeys → run the script file.
You can also get help or find many useful scripts on our friendly discussion forum.
You ran AutoHotkey without telling it which script file to run, and it couldn't find a script in either of the usual places.