Oh right, I totally forgot you said that in the OP xD
Sorry, this week I'm only getting to the forums when I'm really tired o_o... I recalled too quickly that someone on Linux had pointed out the Alt key issue under some configurations
Another more likely cause on Windows itself, is that the OS sometimes fails to notify the program of the proper Alt key state if you're switching between programs via Alt-Tab. It's a known problem with SDL, and something I've tried to work around but nothing seems to solve it 100%. In rare cases the Alt key can't be used in key combinations until you press and release the Alt key by itself to reset it. This happens in other SDL games, too, and I haven't found evidence of anyone completely fixing this problem.
If you're never Alt-Tabbing, then it could be something else, but in general Alt is not a foolproof key to use in a game since it's often used for system features. Fortunately less so in Windows than, say, Linux.