Tursi, I have noticed a problem with the arrow key usage on my system... Not sure if it is Classic99 or what, but sometimes, when starting a level, MM freezes up when I hit a wall while the rest of the game continues. I have to click off of the window (pausing when inactive) and then click back on the window to restart the stick emulation. Ever seen this before?
Have not noticed that. That sounds like the keyboard state becoming inconsistent. What is your joystick configuration in the options menu? Do you have any utilities on the machine that might be popping up windows elsewhere? Do you see this with any other titles? (I see you say arrow keys are the keys you are using, which is the same as I used).
To help troubleshoot, next time it sticks, hit enter instead of changing focus, and see if it makes a difference. Also try disabling "pause when inactive" - I don't use that and it may be contributing if anything else takes focus, even very briefly. (It is supported, this is just to test if it's involved.)