This article has the solution to your issue. Also it could be a bug in 4.0 so if it doesn't work try re-installing 3.6

Kill Application In Task Manager, does firefox.exe show in the Processes tab? See: Kill Application

Causes and solutions for Firefox hanging at exit: Firefox hangs or is not responding - How to fix Firefox hangs at exit "Firefox is already running but is not responding" error - How to fix

Safe Mode You may need to use Diagnose Firefox issues using Troubleshoot Mode (click on "Safe Mode" and read) to localize the problem. Firefox Safe Mode is a diagnostic mode that disables Extensions and some other features of Firefox. If you are using a theme, switch to the DEFAULT theme: Tools > Add-ons > Themes before starting Safe Mode. When entering Safe Mode, do not check any items on the entry window, just click "Continue in Safe Mode". Test to see if the problem you are experiencing is corrected.

See: Troubleshoot extensions, themes and hardware acceleration issues to solve common Firefox problems Troubleshoot issues with plugins like Flash or Java to fix common Firefox problems Troubleshoot and diagnose Firefox problems

If the problem does not occur in Safe-mode then disable all of your Extensions and Plug-ins and then try to find which is causing it by enabling one at a time until the problem reappears. You MUST close and restart Firefox after EACH change via File > Restart Firefox (on Mac: Firefox > Quit). You can use "Disable all add-ons" on the Safe mode start window.

Sometime, it is because you use the '-no-remote -P profile' option for your Firefox shortcuts. After I deleted this option for my Firefox shortcuts and reset it as my default web browser, clicking the hyperlinks in the other applications (e.g. Google Desktop) would function normally and it would not bring you that disgusting window any more.