You are prolly getting that when you try to connect because you are trying to connect to a server that is no longer linked, or are using "Random _____Server" which in some cases is purposely set to not resolve correctly by the network. DALnet is one right now that the server list isnt accurate for due to massive attacks they were subjected to, you can get a list of current ones at this web page
Just type /server the-server-infohere in your status window to connect.
Be sure you have filled in the connect part of options (click on "how to install" to the left here for a pic and directions. and note that under full name field you do not have to use your real name, just make something up). Each area of options has a help button, which will take you to the help file if you have questions about any option.
xp has a builtin firewall, which could be blocking mIRC