If you are used to batch files from the old MS-DOS & Win95/98/ME days, then you will find that the command language used in Windows NT family OSs (especially Windows 2000 onwards) vastly expanded and improved. So much so that it is misleading to still call it "DOS".
Check out the START command, and its switches. You can open a command window and type start /? at the prompt to see a list of them. I think you will find the /WAIT switch most useful.
e.g.
start "" /WAIT "C:\Program Files\Game Folder\Game.exe"
As for starting and stopping Autohotkey, I am not familiar with this app, but I am sure you will find help in its own very good forum
http://www.autohotkey.com/forumJust a thought... can't you run the game from the autohotkey script?