Okay, basically, have your script editor open, and make sure you have mIRC set to confirm upon exiting. Click the 'X' in the mIRC window, while your script editor is open. You will notice that mIRC closes the Script Editor, however it still asks if you wish to confirm the exit. Click 'No' and your script editor will remain closed. The only time this will not happen is if you've made changes in the script editor without saving.

Seriously, it is more of an annoyance than anything; I mean, mIRC shouldn't close a thing unless you answer 'Yes', right? Anyways, just reporting something I found.