I've never seen such a message, so I'm not sure if you're referring to an error in the status window, or a message from windows itself.

It's possible that this has something to do with the answer to the firewall question the first time you ran mirc.exe from that folder. You can try reinstalling mirc into a new folder like c:\mirc\ then be careful how you answer the firewall question when you first connect from the new folder.