An alternative way to "fix" this (quotes due to it not really being a bug in mIRC), is to grab this simple, small program called SetBrowser.

I was having the same problem (I had set Opera as my default browser, but it kept opening links in IE). After I set Opera as my default browser using SetBrowser, they also opened correctly from mIRC (I guess that even though Vista uses a new way to do it, the old way is still supported, and this SetBrowser app lets you set the default browser the old way).