I click on "tools", "clear private data" and the option box no longer pops up so I can clear history, cookies, etc.
The option box used to pop up so I could delete history, cookies, temp i'net files, etc. but when I click on "tools" then "clear private data" the tools menu disappears and the cursor returns to the search engine box...no option box appears.
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Edit: See cor-el's answer, I forgot about the missing ellipsis being the key to that dialog not appearing, his memory is better than mine on that feature.
You should really update to a newer version of Firefox, 3.0.19 is no longer supported.
http://www.mozilla.com/en-US/firefox/upgrade.html
You also have a number of Plugins that are very out of date and need to be updated. Flash - Java - Adobe Reader
See the Plugin Check page for details -
http://www.mozilla.com/en-US/plugincheck/
Modified
If "Tools > Clear Private Data..." is missing the three dots (ellipsis) and you do not get the Clear Private Data window to make choices then make sure that Tools > Options > Privacy : Private Data > Settings > "Ask me before clearing private data" has a check mark.