As far as I know there are two ways in which private messages can be turned off altogether with built-in mIRC features:
1) By adding an ignore entry for private messages. alt+b -> Control -> [Ignore] -> [x] Enable -> [Add..] -> Address: [*] (that is, just a single asterisk) -> Ignore options: [x] Private -> OK -> OK.
2) By blocking queries as part of the lock options. alt+o -> Other -> Lock -> Disable: [x] Chat/Query -> OK.
I hope that helps.