It would be nice if mIRC Help had context sensitive search on the "Index" instead of going to the top of the index you activate.
Been suggested before to add bullets to mirc.hlp. No idea if Khaled is willing to add this feature yet.
In an email Khaled said he wasn't sure how to do that with the help compiler he has. Also, it'd take a hell of a lot of work to anchor the whole help file, so don't get your hopes up.
Well, I guess my next suggestion has already been answered then... but:
Maybe it would be a good thing to drop the HLP help format and change to the new CHM format. Both offer free tools to work with them (compilers, workshops, etc.).