I assume you're using wine? mIRC is only barely supported under wine.
mIRC comes with default settings-- one of them is Sounds being enabled by default. You should see that [x] Enable sounds is checked in Alt+O -> Sounds. If not, enable it. Then make sure all of your events have "beep" (or the ones you want). If typing /beep doesn't work with sounds eanbled, this is a wine issue. Also try toggling the internal beep setting, because one might not be supported.
