I'm experiencing a number of glitches with Options > Sounds. I've combined them all into just two distinct bugs, and used notes to explain the details of each observation. I hope it helps.

Windows XP Professional, SP2
mIRC 6.35 (fresh install)

Bug: Default event beep won't play.

Steps to reproduce:
1. Tools > Options > Sounds
2. Check the "Enable sounds" box
3. Click OK

Note1: I have Windows sounds enabled and working. In fact, they've worked flawlessly since I first installed Windows on this machine, about 3 years ago.

Note2: After trying other settings in Tools > Options > Sounds I learned that Beep works only when the "Use internal beep" box is checked. Of course, that prevents my default Windows sound from playing, and makes the option less useful.

Note3: To work around the above problem I tried using custom sounds, which led me to discover the next problem.

Bug: Custom sound selections won't save.

Steps to reproduce:
1. Tools > Options > Sounds
2. Verify "Enable sounds" is still selected
3. Click the custom sound button
4. Select a sound from Application Data\mIRC\sounds folder
5. Click Open
6. Click OK

Note1: When the setting doesn't save and I return to Options the button is displaying "C:\Documents and Settings\u...\Beep" instead of just "Beep".

Note2: This problem is also intermittent. Occasionally, when I select "No Sound" it saves that setting, and when I return to Options the next sound file that I select for that event is (sometimes) saved.

Note3: When a custom sound selection does manage to save, if I return and try to select a different sound file for that event it doesn't save, and when I reopen Options the previous sound is selected and plays whenever that event occurs.

Final Note: I've tested these settings on two fresh installs of mIRC. Both exhibited the problems mentioned above.