Well, I noticed that in my other browser window I had to do the same thing, use the Undo from the icon one time before it would work with the keyboard shortcuts.
You might be able to reproduce this by installing WinSCP on a system that never had it installed before. Configure it to a server where your web files are located, open a file and edit it, then try to use CrtZ to undo your edit.
I was using a new Dell Latitude with WinXP Pro set up on my client's network. This shouldn't matter, but they use AOL web server, Open ACS and TCL. I use WinSCP to edit the .tcl and .adp files that constitute a single web page directly on their server. Most of the other developers use Putty or Emax editor.