What Loki12583 means is that the braces in your script appear to be separate from the event definition:
on *:text:*:#:
{
splay -w C:/Users/Vixstrix/AppData/Roaming/mIRC/sounds/connectionlost.wav
}
The above script will not work. It would need to look like this:
on *:text:*:#:{
splay -w C:/Users/Vixstrix/AppData/Roaming/mIRC/sounds/connectionlost.wav
}
If your script looks like the above, it should work. You can try adding an echo command (echo EVENT: $event $target $nick $1-) above the splay for debugging purposes. Other than that, you can also try placing the event at the top of the script, in case another event is interfering with it.