User-Datagram Protocol (UDP) sockets are the second (besides TCP) type of sockets that mIRC supports. Unlike TCP, UDP does not require a connection to be made. Packets are sent out with data to an IP and Port, there is no verification as to whether or not the data is received. If nothing is listening on the host computer for this data, it will simply not be received. UDP is used for queries, when a stable connection would simply have too much overhead for multiple small single-data requests.
For more information about UDP versus TCP, see skullbox. It has a very easy to understand picture-assisted explanation.