See the Getting Started with C++/Win32 page for requirements
I wasn't able to get it to function without having at least the Beta channel installed
Follow the steps about creating a project in Visual Studio 2015 (or higher) with C++ support installed. The goal here is to install the WebView2 package from NuGet which provides the WebView2Loader.dll file that is necessary to initialize the Edge environment.
You can find the DLL by navigating into the VS project directory structure to $PROJECT_DIR\packages\Microsoft.Web.WebView2.0.9.579\build and then getting the file from either the x86 or x64 directories depending on your AHK requirements. The DLL is ever changing but I have included the version that I worked with to develop this. Edge Beta version 85.0.564.30
I haven't looked into it but there is also a way to install the Microsoft Edge runtime if the user's PC doesn't have it installed already.
This script simply loads an index.html from the AHK script's same directory. It has example handling of navigation and allows the user to cancel the navigation for any user-initiated navigation events.
Thanks must go to Flipeador for his great initial work on this for an earlier version of the WebView2 SDK. See this thread for his initial script that I started from.