I need a little more info so I can look into this.
PCC
Should close a executable program if it is listed in the task manager.
The exe files you created with AHK are scripts.
If this script starts say notepad then opens IE for example.
You need to tell PCC to close notepad and IE, closing the AHK.exe file won't do that.
Closing a AHK exe file only will close that script not what was activated with it.
