To ignore query messages (they open a query window, or PM window) then you can use the /ignore command:
/ignore -p *This will block ANYONE from private messaging you. If you also wish to block notices (which, by default, are brown messages that either appear in the active window or Status window, and do not open a separate window), then use:
/ignore -pn *For more help on the /ignore command type
/help /ignore in mIRC.
I don't know why you were instructed to go to mIRC options - whilst there are options there that alter how private messages are displayed, I don't know of any options which actually block you receiving private messages.
Happy chattin'

Regards,