Yes, mIRC opens a window for the discussion. Your DCC chat window is just like a minichannel with only two people in it. You can also use DCC commands to send files to other people. For example, you could send a picture of yourself to a person you have just met. If someone offers to send you a file, however, we suggest declining unless you know the person.
Unsolicited files tend to be unbelievably rude and disgusting.
Then you can join another channel or exit. To exit, choose File Exit from the menu.