I ran into this problem and had a difficult time figuring out what was going on, so I'm posting this here for posterity (which I'm sure will include me after some reinstall of Win7)...
Vista and Win7 by default will use the Ctrl-Shift-0 shortcut to switch input languages in the IME, making the keyboard shortcut unavailable for use by UE's Advanced/Tool configuration.
To fix this, remove the shortcut assignment to make the application work as expected. To do this, follow these steps:
1. Click Start, and then click Control Panel.
2. Double-click Regional and Language Options.
3. Click Keyboards and Languages, and then click Change keyboards.
4. Click Advanced Key Settings, and select Between input languages.
5. Click change Key Sequence.
6. For Switch Keyboard Layout, select Not Assigned.
7. Click OK to close each dialog box.
MS documents this here: http://support.microsoft.com/kb/967893
On Win7, step 2 was more like:
2. Click "Change keyboards or other input methods" under the "Clock, Language, and Region" heading
Note that the "Advanced Key Settings" dialog is quite confusing (to me anyway), because it doesn't show anything about "Ctrl-Shift" on the initial panel for the "Between input languages" hot key setting. So I initially thought that my system did not have Ctrl-Shift-0 configured as a system hot key. However, you must highlight the "Between input languages" setting (which said "Left Alt+Shift") and press the "Change Key Sequence..." button before you'll see anything about "Ctrl+Shift" (where it will be selected in the "Switch Keyboard Layout" column).
Also, Microsoft really should figure some way that users can discover what the heck a key combination might be configured to do. It's pretty disconcerting when a key doesn't respond as it's clearly configured to do in an application. And since a hotkey often has no visible effect (like this one for me), it's pretty hard to figure out what's going on unless you stumble by luck on the answer in an internet search.