mIRC 6.21 doesn't create log files in Windows Vista. The file names are shown in mIRC but they do not appear in the mirc\logs folder.
The way to go around this:
1) Go to mIRC folder (probably it's C:\Program Files\mIRC)
2) Right-click on logs and choose Properties
3) Choose Security, click on Edit...
4) Add, enter Everyone
5) Tick on Full Control
6) OK > OK
It started saving log files after this.
Maybe mIRC instalation could do this in the next version?