When I try to download any file, on my status it first says accepting send, then it says connection failed. This happens on every file I download. I am behind a router and using Windows XP Pro.

1. setup your router to pass ports needed to mIRC.
2. setup your mirc to use specific ports.
3. make sure your XP firewall is either inactive or setup right.

If you do not know how to do all this, then you prob. should not be downloading files, its not safe (to many viri) if your not very versed in these areas.

I tried all what was said but somehow some work and some do not work. I still keep on getting the same message.

giving you the benefit of the doubt that you arent downloading files that are illegal to share from a bunch of strangers (neither of which is a good idea, which is why we dont help with it):

if you can get some downloads but not others, then odds are the problem is on the senders end. about the only other thing i can think of is that you are trying to get more dccs than you have open ports for or have a bandwidth limit set at your isp level. you could try adjusting mIRC's options:
view--->options--->connect--->options, click on advanced and see how many ports you have open for dcc, and perhaps check the box that says "use random ports". The random local ports option makes mIRC use non-consecutive ports (within what you have set) when creating listening sockets.