Hello,
This is very strange, as we have never seen such a problem before. However, can you please tell us, when does this happen exactly i.e. when you record the Keystrokes or when you insert Keystrokes manually? Can you please record and check it again by not hitting Enter key after you entered the path in 'Save as' window?
If the problem still exists, try to download the setup again from our website
http://www.tethyssolutions.com/automation-software.htm
After installation, please try to insert simple Keystrokes for e.g. write something in notepad and see if the same thing happens.