There is no real reason to do this. As I mentioned in this thread, mirc has its own place to store its own files.

I should also point out that you can sort of accomplish this by specifying -r c:\path\to\mirc\data in your command line switches when starting mirc. This will make mIRC treat the data\ dir as its own $mircdir, which means it will store mirc.ini, perform.ini, etc. all in there. So basically, if simply moving every mIRC file to data\ is your goal, -r will do this. /help Command Line for more info on the switches.