From the help file re sounds options:
Location of wave/midi files:
Whenever a sound is requested, mIRC will look in these directories and all of their subdirectories for it.
Listen for !nick file get requests
If someone sends you a message starting with an exclamation mark prefixing your nickname mIRC will assume that they are requesting a sound file from you and will search your sounds directory for the file. If it finds it, it dcc sends it to the user.
The /sound command
The sound file must end in .wav, .mid, or .mp3, and may be located in the default sounds directory or in any of the subdirectories in the sounds directory. You do not need to specify a directory for the filename unless the file is not in the sounds directory.
I know you said you have "listen for !nick..." checked, but did you check to be sure you have the "accept sound requests" box checked as well?
<insert file sharing lecture here>