As Poppy said:
  • File
  • Options (Alt-O)
  • IRC
  • [X] Iconify query window
This will force the query window to open minimized.

  • Iconify query window
    If someone sends you a query, the default is for the query window to open, ready for input. You can select this option to force mIRC to iconify the window preventing it from taking the focus from the window you are currently in.
As far as DCC Chat/FServe windows are concerned, you might try using on *:OPEN:=|!: to /window -n them. Perhaps something like:
Code:

on *:OPEN:=: window -n =$nick
on *:OPEN:!: window -n =$nick


DALnet: #HelpDesk and #m[color:#FF0000]IR[color:#EEEE00]C