Tell me, what would be the reason for having mIRC open and all the status windows closed if you don't have any scripts running? Remember that all other windows have to be associated with a status window, so you can't have all the status windows closed while still having channels/DCCs/etc open.
If you (or anyone) is not running any scripts and wants that last status window closed, simply right-click the main mIRC title bar and choose "Close". Voila, that last pesky status window is gone.
-genius_at_work