firstly, disable connect retry in mIRC Options > Connect > Options.

next, enable a firewall for server connections in Connect > Proxy with settings that will result in an error, eg. an invalid hostname such as 'abc'.

now try to connect to a valid IRC server, you should see something like this:

Code:
[14:20:01] * Connecting to irc.swiftirc.net (6667)
-
[14:20:04] * Proxy: Unable to find proxy address
-
[14:20:07] * Connect retry #1 irc.swiftirc.net (6667) (dns pool)
-
[14:20:09] * Proxy: Unable to find proxy address
-
[14:20:13] * Connect retry #1 irc.swiftirc.net (6667) (dns pool)
-
[14:20:15] * Proxy: Unable to find proxy address

"The only excuse for making a useless script is that one admires it intensely" - Oscar Wilde