All of the documentation is in the snippet.

Please note this does not use mIRC's default highlight dialog in any way. I am the type of person that likes to do everything from scratch.

Comment with suggestions/improvements and if I see fit they will be implemented (along with your name being added to a list of credits).

Updates:
Updated on $:TEXT:$(/.(\b $+ $me $+ \b)[!.?,\x3A;-]?./Si)::{ to on $:TEXT:$(/.(\b\Q $+ $me $+ \E\b)[!.?,\x3A;-]?./Si)::{ to make $me literal. Thanks Jethro_

;Highlight System v1.0 by Matcou@SwiftIRC.net
/*
 *When you double click a line in a highlight window,
 *This alias will activate the channel (if you are currently on it),
 *And will go to the line where the highlight occurred,
 *Assuming it is still in the channel window's buffer.
 *When you double click a line, the line will be deleted
*/
alias HL.goto {
  if ($me ison $strip($gettok($sline($active,1),2,32))) {
    var %findtext
    %findtext = $strip($gettok($sline($active,1),2-,15))
    var %chan
    %chan = $strip($gettok($sline($active,1),2,32))
    dline $active $sline($active,1).ln
    window -a %chan
    findtext %findtext
  }
}

;You can type /HL.clear into any Highlight window created by this snippet and it will clear the buffer.
;You can also right click the window and click "clear"
alias HL.clear {
  if (Highlight. isin $active) clear $active
}

menu @Highlight.* {
  dclick: HL.goto
  clear: HL.clear
}

;This RegEx matches your current nickname anywhere in a message
;Directly after your nickname can be !,.;:- (all popular punctuation).
on $*:TEXT:$(/.*(\b\Q $+ $me $+ \E\b)[!.?,\x3A;-]?.*/Si):*:{
  var %Window
  %Window = $+(@Highlight.,$network)
  if (!$window(%Window)) window -e3j50k0lmvw2z +bfnx %Window $window(-2).h $window(-2).h $window(-2).w 250
  aline %Window 05 $+ $eval([,0) $chan - $timestamp ] < $+ $nick($chan, $nick).pnick $+ > $replace($1-,$me,$+($chr(2),$chr(31),$me,$chr(2),$chr(31)))
  flash %Window New highlight on $chan
  beep 1 1
  window -a %Window
}