On some computers running Windows XP, all the menus and popups from KeyRocket seem to be invisible because they appear behind the KeyRocket main window. This is caused by a bug in the Windows XP display system. Microsoft released a Windows XP hotfix that addresses this problem. After installing it, the menus and popups in KeyRocket are displayed normally.
The hotfix can be downloaded here: http://support.microsoft.com/kb/943326/en-us