Realize that the ppl who answer questions here are volunteering, and arent here 24/7 so you may have to wait a little bit for a reply.
You can have the window set so that it beeps with a new msg if it isnt the active window. You can also set it to flash, and then set a sound for the flash event.
In mIRC, type: /help system menu and also /help event beeps
look in file/options/IRC/options and file/options/sounds
(you can also get to the options by holding down your alt key and clicking the o key, or by clicking on the second icon from the left, the one with the little hammer. sliding your cursor over those icons will tell you what each is)
clicking on the help button in any of the options windows will explain the available options
when you make a change in a windows system menu or in options, it will stay until you undo it.