It's true, the warning about closing multiple tabs doesn't work in private windows. Does Firefox have a warning about active downloads when closing a regular window?

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In the regular mode, Firefox does warn about active downloads when exiting.

Hi zbuckeye, I have created an experimental extension that keeps a private window open when you try to close it. If you want to test it out:

https://addons.mozilla.org/firefox/addon/prevent-closing-window/

It uses the (usually) annoying "do you want to leave the page" prompt to do this:

Right now, it only protects 1 regular window and 1 private window. I need to build an options page or toolbar button to give it more capabilities.