Does that 2nd window have a Close Window hyperlink on that page and you are using the X in the upper right corner of that 2nd window to close it?

Use Firefox or File Exit to close all open windows at once if you want to restore the currently open windows.

Firefox 4 saves the previous session automatically, so there is no longer need for the dialog asking if you want to save the current session.
You can use "Firefox > History > Restore Previous Session" to get the previous session.
There is also a "Restore Previous Session" button on the default about:home Home page.

Another possibility is to use:

• Firefox (Tools) > Options > General > Startup: "When Firefox Starts": "Show my windows and tabs from last time"

No, there aren't any close window links. I am closing with the X in the corner.

Usually I'll have some website open and just open a link to another website to read a page, look at a picture, whatever, manually. My main window isn't opening new windows as part of a website, it's just me right clicking and choosing Open in New Window on links that I'm bringing (the new page) front and center to read right then instead of queuing like I am with the first window.

Thanks for the follow up!

I'm not having a problem with restoring sessions. I'm having a problem with Firefox wanting to close when I close one window.

Also, I forgot to mention that the prompt comes up twice. So I click Cancel or the X on the 'Quit Firefox' prompt and it appears a second time.

Start Firefox in Diagnose Firefox issues using Troubleshoot Mode to check if one of the extensions is causing the problem (switch to the DEFAULT theme: Firefox (Tools) > Add-ons > Appearance/Themes).

• Don't make any changes on the Safe mode start window.
• https://support.mozilla.com/kb/Safe+Mode

• Troubleshoot extensions, themes and hardware acceleration issues to solve common Firefox problems

Running in Safe Mode does prevent the problem. So it's looking like disable all addons, enable one at a time until it happens again/vice versa. Thanks!

I disabled one addon at a time, and actually found it on my second try. The problem was the HTML5 Extension for Windows Media Player, a extension actually created and provided by Microsoft if I remember correctly. With it disabled, the problem no longer occurs.

Thank you everyone for your assistance. I would mark cor-el's more recent post as the solution but am currently getting 'Access Denied' when I click the button.

You're welcome