If by /w you mean do a /whois on the nicks on your notify, you have to check the box for perfom /whois on the nick when you add it to your notify list (or go back and edit it). You should only use this option if you really need to, if you use it with too many nicknames then the IRC server might disconnect you for flooding. (btw, flooding is a server issue, not something mIRC can change)
If you use the command instead of adding someone in the addy book, prefix the nickname with a + sign, then mIRC will do a /whois on the nickname as part of the notify.
In any mIRC window, type /help notify list to read all the info (or alt + b, click on notify, and click on the HELP button)