Comment 103 for bug 230102

In short:

A) to be alerted every time you close a window with multiple tabs:
      1. "Tools"->"Options"->"Main"->"When Firefox Starts"->"Show my homepage"
         or "Show a blank page"
      2. about:config
      3. set browser.tabs.warnOnClose to true
      4. set browser.tabs.warnOnQuit to true

B) to be alerted only when you are closing a window with multiple tabs, but not
   on exit (automatic session saving):

      1. "Tools"->"Options"->"Main"->"When Firefox Starts"->
         "Show my windows and tabs from last time"
      2. about:config
      3. set browser.tabs.warnOnClose to true

If this doesn't work, you probably have an extension problem. Try to retest with latest trunk - http://ftp.mozilla.org/pub/mozilla.org/firefox/nightly/latest-trunk/ - with a blank profile.