The mIRC help file should give more info regarding connecting to irc servers via socks/proxy.
This is what the mIRC help file contains regarding firewall.
For GUI interface instead, press Alt-O which will bring you to the Options Dialog.
Expand the Connect treenode by clicking on the + symbol. Look for firewall. Click on it. You should be able to see a dialog which ask for the hostname, port, userid, pass, exception masks, firewall support and protocol. Just play around with it. For proxies/socks, check the Proxy Listings section. Just a note though, not all proxies/socks are IRC compatible. You might want to use an IRC proxy checker. I use the one i attached. It can be found at
http://clan.cyaccess.com/zip/ircprx15.zip. I have attached it for the lazy users who cant google

There is a irc socks checker too. But i cant find it and i am rather bz so those who have it may post it. You can also get additional irc proxies at
http://www.atomintersoft.com/products/aliv.../help/irc-proxyCheers, got to go bye~