I don't know what situations you've come across that this option has caused trouble with, but the setting is easy enough to turn off.
1) Go to mIRC Options - Sounds - Requests
2) uncheck Send '!nick file' as private message
3) Click OK

I think the reason it's on by default, is so that if you're wanting to request a sound file from another person on the channel, you can do so without interrupting the conversation in the channel.