You do not have to change any options for this to work. If it is not working, this means that either your Windows is not configured to use a default browser or you are using a script that blocks hotlinks.
An easy way to test this is to install a clean copy of mIRC, using the portable option in the installer, in a new, empty folder with no scripts or addons, and to test it there.
And you should, of course, make sure that you are using the latest version of mIRC.