Try unsetting the option, pressing OK, then going back into options and setting the option again. Make sure you don't accidentally press 'Cancel'
Also make sure that your mirc.ini file in your mIRC directory is not set to "read only". When in mIRC, type
//run $mircdir, find the mirc.ini file and
right click it - then go to 'Properties'. If, at the bottom, "read only" is checked, uncheck it.
Might also try the universally proven super computer cure - rebooting - it cures all kinds of things it technically shouldn't
Hope this helps
Regards,