I am also a victim of this, infact it has happened to me on all the versions I have tried. It doesn't do it all the time though. On the odd occasion explorer.exe will mess up which will lead to ending it's process mIRC will disappear from my tray but mIRC.exe is still listed as a process.
I never really thought anything of it, I thought it was probably my machine playing up or something.
Windows XP Home Edition mIRC 6.16.