The ON START event will trigger every time the script is started. This is triggered when you load a script, since the script has to start when it is loaded.
When you start mIRC, the scripts are already loaded, thus the ON START event triggers, but the ON LOAD event does not.
When you load a new script (usually using File -> Load, or /load -rs <script>) then the ON LOAD event triggers as well as the ON START event.
