In order:
1) Yes. You need to remember to check the New Status Window check box in the connection dialog, or use the /server command with the -m switch.
2) Yes. See the Highlights tab in the Address Book (Alt + B)
3) No. If you are using a nick that an IRCop considers to be a violation of the rules for that network, then the IRCop has the ability to change your nick.
Note: This is only available to IRCops and only those that have sufficient access.
If you want to reserve your nick so that only you can use it, most networks support a nick registration service, usually nickserv. Join the networks help channel, usually #help, for further assistance with this.
4) While you can't put a message into the Windows Taskbar, mIRC does have a Tips function. See /help Tips for more details.
