On exit
From Scriptwiki
The on EXIT event triggers when mIRC itself is closed.
on <level>:EXIT:<commands>
The purpose of this event is to allow scripts to exit cleanly, e.g. unset variables, save settings, etc.
Example
on *:EXIT: { unset %temp* }
This example would unset all variables beginning with temp.
See Also
To execute commands when mIRC "is started" (respectively whenever the script is loaded), take a look at the On start event.