on *:OPEN:?:*: {
msg $nick <your first line/message here>
msg $nick <your second line/message here>
}
The first line is your event description: "if a new query window is opened with whatever message...". The curly brackets enclose all the commands you want to execute if this event occurs: "... send a message to the nick, and send another message to the nick".
Note that this event will only trigger if the query is opened remotely, that is: you
received a private message and thus the query window was created by mIRC.
Script load order will only matter if you have other (e.g. competing) "on open"-events in other scripts loaded; if you put this script at the top of the load order, it will fire in *any* case.