You can use a COM object called XMLHTTP for that. This script will request a page and return the HTTP response headers:
  • alias getpage {
    .comopen gp Microsoft.XMLHTTP
    !.echo -q $com(gp,Open,1,bstr,Get,bstr,$1,bool,false)
    !.echo -q $com(gp,Send,1)
    !.echo -q $com(gp,GetAllResponseHeaders,1)
    var %result = $com(gp).result
    .comclose gp
    return %result
To test it, try: //echo -a $getpage(

Edit: Keep in mind that due to mIRC limitations, you cannot use this object to retrieve a webpage body if it's longer than ~900 characters.

mIRC COM Tutorial
Article from 4GuysFromRolla
MSDN Object Reference