I recently had a discussion in .tools about this. Paul O'kasick was nice enough to share his
findings. Aparently there's both a 32 and a 64 bit version of cliconfg.exe and these modify
different registry keys. Here's a quote from Paul most recent reply:

"The alias is working on our test machine. It turns out there is a 64 bit
version of cliconfg.exe (C:\WINDOWS\SysWOW64\cliconfg.exe). As soon as I
created the alias with that version, the application started working. I
removed the alias created with the 32 bit version.

Each version maintains a separate list of aliases. The registry key for the
32 bit vs. 64 bit is
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\MSSQLServer\Client\ConnectTo &
HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\Microsoft\MSSQLServer\Client\ConnectTo,
respectively."

So, my suggestion is that you try to create the alias with both 32 and 64 bit version of
cliconfg.exe to see which it is that is required in your particular case (probably depends on
whether the client app is 32 or 64 bit - meguess).