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.
Use "File > Exit" or "Firefox > Exit" if you want to restore multiple windows.
You can use "Firefox > History > Restore Previous Session" to get the previous session at any time.
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"

I end up hitting Command+Q fairly often instead of Command+W. What I liked about the save session option was the ability to cancel quitting. Please, Mozilla, put in the option to be asked if I really want to quit. It is a HUGE pain to have to restart and wait for a bunch of tabs to open.

In the URL bar, type in about:config and press enter. You should see a notification page, press the I'll be careful, I promise button and then find browser.showQuitWarning in the list, right click and toogle it so that the value changes from false, to true. You have just activated it to ask you everytime now. This should work.

Hi Jagzthebest, I have done that and confirmed that the setting remains after quitting, and unfortunately it does not work for me. Perhaps it's an OS X thing? Quitting, whether through the menu or the keyboard shortcut, results in instant quit with no chance to take it back.

Are you sure? check through everything again, especially if its browser.showQuitWarning (not something else, and remember, make sure the value is true, also make sure you have no other windows open and check your settings Firefox button>Options>Options, go to "tabs" and make sure "warn me when closing multiple tabs" is checked

Thank you all very much! Best result from tools>options>show my windows from last time...was pulling hair out by handfulls...life is grand again..birds are singing again.....finaly can get back to work, sculpting stone and bronze, thanks to you-all..........janandjomoore

All except for having all other pages closed while doing this step. Will try again when I can close everything and start a new blank session. Thanks.

Alas, no, it still does not work. And yes, it's browser.showQuitWarning (I've been able to read for years and years now :-) and I quit all pages, opened browser to just the one blank page, went to about:config, changed it back to false, closed, quit, started, went back to about:config, changed it back to true, closed page, opened it again just to check that it was still set to true which it was (and still is,) quit, and no warning. Opened several tabs, quit, again no warning. Opened several tabs and windows, still no warning. Again, must be an OS X thing I guess.

Here's the post that solved it all: cor-el's reply at https://support.mozilla.com/en-US/questions/824072#answer-186465\

The first URL made it all very clear where it says the author has "documented the conditions under which we won’t show a dialog." This text links to a file which explains when the quit dialog will or will not be displayed. This was the magic bit of info that allowed me to make the necessary adjustments. Bravo to cor-el!

Mac version of FF button is the Menu Bar and there is no TOOLS>Options. Also the possible Preference panel has no startup set in General .

IN short this does not function yet in FF4.0 or 4.0.1

Better news is that at least in 4.0.1 FF the Restore Previous Session in History has started to work so you can get them back.

Doesn't work in FF4