Holy cow, that was the problem.
I was saving the script in the Exit section, not the Running section. Which, now that I think about it, it makes totally sense. I assume that the Exit section is for when it closes the emulator.
And WinClose, ahk_exe {{{StartupEXE}}} totally worked.
So, now that I have that fixed, I have another question about it.
How can I add two scripts? Cxbx needs one to go fullscreen, but I don't know how to add both scripts.
Btw, if anyone knows a extremely simple script to just go fullscreen as soon as the emulator opens, that would be lovely (just send Alt+Enter when the emu loads the rom).
Thanks!