Well, you should try and make this a bit more better by putting brackets.
Heres what I'd do to the script:

on *:LOAD:*:{
  echo Please type /bn followed by your bot's nick. Thanks!
}
alias bn {
  /set %botnick $1
  echo Thanks, botnick's set to $1
}
on *:text:!cool *:#: {
  if ($2 ison $chan) {
    if ($me isop $chan) || ($me ishop $chan) {
      var %coolnick $2 $+ `
      /nick %coolnick
      /mode $chan +b $address($2,2)
      .timer 1 3 /kick $2 $chan Oh no you baned your self and kicked your self?!
      return %coolnick
      /nick %botnick
    }
  }
}

That would suit my bot :)