A alias gets called from the commandline (the place where you type your text), or from Remote, or Popups. Aliases get's executed by using executor command, which is "/" in mIRC by default, I doubt many people use something else.

For your alias scripting goto to the alias section (press ALT-A).
Starting out with a simple alias, could be like this:

/nt /mode # +nt

This would put the channel modes +nt on the currently active channel window, you call/execute the command by typing /nt. This might be usefull consider it's only 1 line.

You can add more lines as well, Each command needs to breaked with a return, Or a '|' to let me mIRC know, Here's a new command. I'm going to give you examples of both, right now.

setaway {
ame is gone
away I'm not here
}

This above example used return, This is probably what you should start out with, Since it's easy to have a overview off. You can make the script using '|' but in 1 line. It would look like this:

setaway { ame is gone | away I'm not here }

You can also access parameters from your command, Let's say we expand the little away script we made above, By using parameters to for example, Give a reason why we are away.

setaway {
ame is gone: $1-
away $1-
}

Using the command now /setaway would now put you away with a reason, I made a little quick script to give you a understanding in how parameters work.

parmtest {
echo -a Full Parameter: $1-
echo -a Single Parameter.. You typed $1 And $2 And Um.. $3
echo -a Word1 & Word2.. $1-2
}

Now by executing the command /parmtest foo bar rewl. That part shouldn't be hard to understand. Let's expand the away script a little more, By saying you want to change your nick. When you type /setaway .

setaway {
; We have to store the old nick, for use in the /back command
; The old nickname, will saved in %normalnick variable.
set %normalnick $me
; Now %reason will contain the away reason.
set %reason $2-
; The new nick is $1 .. so let's change it to that.
nick $1
; global action/describe, that we are gone, and earlier
; we saved the away reason in %reason
ame is gone: %reason
; The IRC command to put our self's away, so Other's know we
; are away
away %reason
}

Now let's add the back function, We are just going to call it via the command /back.

back {
; we had the old nickname in the %normalnick variable, let's change
; it, back then.
nick %normalnick
; let's notify in public that we are in fact back. and what
; we are back from
ame is back from %reason
; Let's clean this up, so it wont bother us for next time.
unset %normalnick %reason
; The IRC server still thinks we are away, so we just put our selfs
; back, by only typeing /away
away
}

Note: that when your making aliases in remote, popups, or in alias, you do NOT need '/'.