I don't think you're missing any steps there; you may be running into a problem that is on the programming side of Warhammer, rather than something being wrong with your Keyclone application. In EverQuest, the same thing happens (or at least, during my tests it happened), because the game has been programmed in such a way that Keyclone can't pass through windows on the same machine. The fix for this is to either use separate computers for each of the instances, or dabble with InnerSpace. I'm not going to start a debate on innerspace here though, as using it with EverQuest, WoW, and I'm sure Warhammer may get you banned, because of its ability to programatically macro anything (e.g. auto-heal when your characters health reaches N%, etc...so use at your own risk).

Your best bet may be to send Rob (Keyclone's creator) an email and see if he has any advice for you.

- Rin