This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
Yes this is a fairly well known "limitation" of firefox. I put limitation in quotes, because of course, other people think this is the correct thing to do, and that IE and all the others have it wrong.
The solution for FF is to use profiles. Just google for 'Firefox multiple sessions' and you'll see a plethora of pages.