note: this behaviour is because of a new security feature in vista&win7. installing mIRC (or copying the directory) outside of the "Program Files" folder, and having the mirc.ini in the same directory as mirc.exe like you used to have, will solve this problem.
any program under "Program Files" can't write data directly to it's own folder (unless run as admin) but it gets written to the 'virtual store' instead which is a protected sandbox environment.
so simply make sure you have it somewhere else (like C:\mirc or even on another partition).
