starbucks_mafia explained how firewalls work. If you allow a program full access to the internet (which you'd have done for mIRC and MSN), then it isn't going to stop a script or other event that is using those to access the internet from working. For example, if I have a script in mIRC that sends my computer information somewhere and I have mIRC set to full access, then the firewall won't prevent that information from being sent.
What a firewall is meant to do is to prevent unwanted programs from accessing the internet and to keep people from accessing your computer through ports that aren't allowed. Messaging you on MSN has nothing to do with hacking you and if you have a script running on mIRC that is doing things to you, then that's not something a firewall is going to stop. It's up to you to NOT use scripts that you don't understand and trust. And, you have yet to state what script(s) you are using.
In any case, I listed who you should talk to. The owner of the channel was not on the list because he/she cannot do anything except ban the person from the channel. That won't prevent the person from bothering you.
Take our advice and you shouldn't have problems. Or, ignore it and live with it or leave the channel/network if that's what you really want. In any case, you apparently are running something that is allowing the person to bother you and you should get it taken care of whether you leave that channel or not.
