Kev, here are the steps.

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Hello Kev. Here are the steps that worked for me: 1. In the address line, type in "about:config" (without quotation marks). Click on "I'll be careful, I promise!" 2. In the filter field, type in browser.showQuitWarning. This should filter out all other options 3. Double click on the option that is left in the list. The value should switch from "false" to "true". 4. Close about:config tab and it should work. I know these are the already mentioned steps, but this is just in case you need them in order. 5. This step is crucial; like Tilly mentioned, NOW go to Tools -> Options -> General tab and make sure "Show my windows and tabs from last time" is NOT your chosen option. Either of the others seems to be okay. Click OK. Now when you attempt to close Firefox with more than one tab still open, you should get a warning message. 6. If it DIDN'T work, just go back to about:config and turn browser.showQuitWarning BACK to FALSE. 7. Go back to Tools -> Options -> General tab and make sure "Show my windows and tabs from last time" is NOT your chosen option. Choose ANY of the other two options. 8. Then go back to about:config and turn browser.showQuitWarning BACK to TRUE. After doing this dance TWICE and verifying that the General option was changed, and turning showQuitWarning off and then on again, it Worked! I then updated from Firefox v19 to v20.0.1 and it STILL works fine (remembered my last session BEFORE the update)! Hope that helps Kev and anyone else who did all the steps, and it STILL didn't work!
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