I've tested this on 7.36 and the last stable version of mirc, 7.34. It seems the beep sound from when someone says your name if you have highlight nick turned on isn't playing. The other beep sounds I have enabled work, just highlight does not.
Can you check these: * Options>Sounds>"Enable sounds" is checked * Type /abook -h -> check "Enable highlight" -> add a rule -> Hightlight lines that contain the word $me -> Match on MESSAGE -> Play sound "beep" -> OK * Type /remote off (to ensure no scripts are halting the highlight)