First, make sure that you downloaded it from here and not from some other site. All files from here are free of viruses, but we can't guarantee that that is true for other sites.
It could be your antivirus program being a pain. Some antivirus programs consider IRC to be a dangerous place and block mIRC and other clients automatically (some even delete the mIRC.exe file). You'd need to go in and put mIRC in as a "safe" file and make sure that IRC itself isn't blocked by the antivirus.
Other than that, try reinstalling it and see what happens.