How to reproduce:
1. Start IDLE -> "Python Shell" window opens.
2. Open Options|"Configure Idle...".
3. In "idle" dialog select "Keys" tab.
4. Click "Set as New Custom Key Set" button.
5  In "New Custom Key Set" dialog, type a name, click "Ok".
4. Click "Apply". Then notice that in the folder

   C:\Documents and Settings\<user>\.idlerc,

   two new files appear, config-keys.cfg and config-main.cfg. The
contents of the latter is

[Keys]
default = 0
name = <Key Set Name>

SO FAR ALL IS OK.

5. Now go back to "idle" dialog, click "Delete Custom Key Set", then
"Apply". Notice that config-keys.cfg file disappeared, but
config-main.cfg neither disappeared nor changed. My guess, THIS IS THE BUG.

6. Now click "Ok" - no reaction. Click "Cancel" - crash: the Python
windows disappear. Try to restart IDLE - it WOULD NOT START until
config-main.cfg is manually deleted.