This is not a bug, but the method that mIRC uses for determining the drive and path where files are to be stored.
Unless you specify a drive letter and the full path, mIRC uses the installation drive and directory as the main references.
In this case, C:\mirc
If you do specify the drive letter and full path, and it (or the filename) has spaces in it (eg: My Documents), then you have to enclose the entire thing (drive:\path\file name.ext) in quotation marks.
