Sockets are basically connections to send and receive information. I wouldn't worry about it, it just means the socket can't be opened which is a life saver if the socket is malicious. Judging from your post you probably use a mIRC script or a friend has sent you a mIRC addon with sockets in it. I'm not going to tell you to unload it just incase it's one of your scripts core files so here's my advice go here
and download the latest version of mIRC which is 100% safe and totally fresh, well except the standard aliases.
You can customize your mIRC to suit your needs (On Join / On Part) events, changing the background colour or image. Colours of your text etc.
If you have any other queries about setting up mIRC we're glad to help.
Take care now,