That is probably happening because XP hides the Delete keystroke from the system when Ctrl & Alt are held down. If this is the case, I do not know of any easy way to fix it.
You can help me confirm this by following these steps:
1) Have your problem script running.
2) Press Ctrl-Alt-Del
3) Press Esc to dismiss the security screen.
4) Double click the script's tray icon to open the window
5) Select menu View > Key history
6) Copy & paste that info to an e-mail addressed to
support@autohotkey.com
Thanks for your help.