This option is up to you, actually, but it is set to 'Always' by default.
1. Go into mIRC's options window (ALT+O)
2. On the left side, click on 'Other'
3. On the ride side, click the 'Confirm...' button
4. At the top of the new window you will see 'When closing status window, confirm if...'
5. Deselect 'All' and then select any options you want to trigger the confirmation prompt when closing your status windows.
That should do the trick!