That's not the same, when you do File > new, it's not a file like in an editor, it's a loaded file mirc care about so it's already saved.
It could be "untitledN.mrc" but it won't solve your situation.
That's why I suggested a Rename item in the menu, or possibly mirc asking you for the name of the file when creating a new one but I prefer the Rename item.
