I haven't seen any options for when you click a channel/custom window with shift pressed down, it closes. I really need that, there's some bug with me and this shift-thing. If I press shift a single click and wait 1-4 seconds and click a channel, it closes. Damn it, I hate it.

So, could you tell me how to get rid off it or could Khaled (or someone else?) make an option for that and put into next version?

You can always ask, but I have never seen any author of any program add an option in his program because one user had issues with the program, especially if those issues are caused by the user's system and not the program itself. I wouldn't keep my hopes up if I were you.

Ive seen this happen with myself when my machine is laggy, but thats the only time

It lags if you have a large buffer, or a slow computer. mIRC writes to the log file when the window is closed, and maybe a few other things occur.