The Beeps & flashes when you receive a query can be configured thru mIRC's options.
For the beeps, ALT-O -> SOUNDS -> Check the box "Enable sounds" -> Check the box "Query Message" under Beeo on -> Check the box "Use Internal beep" or you could use your own sound.
For the Flashes, ALT-O -> IRC -> Options -> Check the box "Query Message" under Flash on.
Then you would only use the flash command with the text event:
on *:text:*:?: flash -w PM: $nick
Hope that helps.