Setting up your own IRC server has nothing to do with mIRC, that's why you won't see any documentation about it.
A "real" IRC server is usually run on a *nix box. But if you want to just your own small server to support a few friends, you can try Windows ircd instead.. http://www.ircd.8m.com/
would be an example of a place to start looking.
If you want a piece of advice though, it's not really worth the trouble. Just look for a small IRC network and start your own channel there. Why would you need your own server?