Have you ensured that it is enabled in the Address Book in mIRC?
Does anything play, or is there just no sound/response at all?
Is the file you're using for the sound available on your system? (i.e. not on an unplugged external hard drive)
I found that if I was using multiple Highlights and if they were the same word (like !Alci and !Alcibiades) that the long form has to be first since mIRC will treat them the same if you don't since it reads the first letters of the !Alcibiades one, gets to the i and plays the music for the !Alci one. Took me awhile to figure that out lol