to clarify further, you dont HAVE to use xp's firewall or za or any firewall with mIRC if you dont want (altho i wouldnt run mIRC without my trusty lil za) but if you try to run both winxp firewall AND za/any other firewall at the same time, i could see probs arising.
Which makes me wonder... to the original poster: in mIRC, file/options/connect/firewall, be sure you have that set to NONE ( if it has something else and it wont show you none, put the cursor there and use your up/down arrow keys on your keyboard to find it)