I don't use Windows 8, so can't tell you how to adjust the warnings from Windows. It sounds like it's a security setting, perhaps related to whatever Windows 8 uses for UAC. You can start by checking there. I'm sure a future version of mIRC will better support Windows 8 if this is a compatibility issue and not just a security issue.
However, regarding MS Agent, mIRC stopped using MS Agent somewhere around beginning of version 7.x. As long as you have the newer version, you shouldn't see that as an option anymore. mIRC has its own speech thing now, which you can enable or disable as you see fit.