Follow these steps:
  1. Download nHTMLn here .
  2. Create a folder named "nhtmln" in your main mIRC folder.
  3. Extract the zip file to that new folder.
  4. Open mIRC, open the Scripts Editor, go to tab "Remote", go to "File -> New", and paste the code beneath in there. Make sure it looks just like in this post.
  5. Close the editor by pressing ok.

What does it do?

When you hold shift, whilst double clicking on an url, it will open the url in a window in mIRC, named @browser.

If you don't hold shift, then the default action will happen, which is the url will be opened in your default browser.

If you wish to change the location of the dll, then you will need to adjust it in the code, as the alias nhtmln there as you can see, points to the path: $mircdir\nhtmln\nHTMLn_2.95.dll

Code:
on $^*:hotlink:/^(?:www\d*\.\S+\.\S+|https?\72\/\/\S+)$/:*:{
  if ($mouse.key == 5) return 
  halt
}
 [color:red]  [/color] 
on *:hotlink:*:*: navigate $1
 [color:red]  [/color] 
alias nhtmln return $shortfn($mircdir\nhtmln\nHTMLn_2.95.dll)
 [color:red]  [/color] 
alias navigate {
  if (!$window(@browser)) {
    window @browser 
    if ($dll($nhtmln,attach,$window(@browser).hwnd) != S_OK) {
      echo -ac info * /navigate: error attaching browser window
      close -@ @browser
      return
    }
  }
  window -a @browser
  return $dll($nhtmln,navigate,$1)
}