On older versions, mIRC used the script files from within the same directory (C:\Program Files\mIRC\ [by default]), and with newer versions, all scripts are defaulted to the %appdata%\mIRC directory.

How do I change this?

In Windows Vista and 7, miRC has to store its data on that path due to read/write permission. Since Vista/7 doesn't allow to write in program file in many cases (after you installed the program).
Of course you can change that permission roles. But my suggestion is to move contents of both mIRC directory in Program file & the mIRC directory in AppData\Roaming to a single folder in another drives or to root folder of the Windows installed drive. (Which is mostly C:\)

As mentioned, if you want everything in the same location, just stick the files in the install folder (you really only need to move mIRC.ini there to get mIRC to use that folder, but you might as well move the rest). However, if you're just concerned about the script files, just save them to the place you want. It may default to one location, but as with most other apps, you can use Save As to save to a location of your choice.

The main thing is that the permissions in Vista (and to a lesser extent, Windows 7) can make it troublesome to store everything in Program Files unless you change permissions as mentioned. You can easily get around that by installing/moving mIRC to somewhere else, such as c:\mIRC\.

This point wasn't really stressed, so I'll chime in here:

If you *do* want to store all your data in a self-contained directory, mIRC can do this with the -portable command-line switch, or if the mirc.ini file is in the same directory (as stated)-- but do not store your self contained mIRC install inside of C:\Program Files or C:\Program Files (x86). You will run into problems, if you try to do this.

Instead, place it somewhere else, as others have suggested.

Ah, simple enough. Kudos, folks.

Also (for any future lurkers who come across this thread), the system in question here is good ol' XP. It's defaulted to the %appdata% directory by default regardless of the $os.

Yeah, mIRC 7.x changed to %appdata% as that is the path Windows wants apps to follow. It lets multiple Windows logons to have their own individual settings in apps without the app needing to really do anything on its own. Of course, for many home users, that doesn't really offer much benefit as they often only have one user account per computer.

With XP, you probably won't run into any problems with permissions if you use Program Files, but it doesn't hurt to install somewhere else to be safe.