You can close the tab by temporarily disabling JavaScript.

In the Tools menu select Options to open the Options dialog. In the Options dialog select the Content panel, then de-select the "Enable JavaScript" setting. Close the Options dialog, and you should then be able to close the tab. You can re-enable JavaScript afterwards.

Note, Firefox 4 will give an option to stop displaying the alert dialog boxes in situations like this, so you will be able to close the tab without disabling JavaScript.

Such an alert is done via JavaScript.
If it happens on every page then you may have malware.
If it only happens on specific pages then it can be a script on that page.

You can disable JavaScript temporarily to make it possible to close that tab and then re-enable JavaScript.

Tools > Options > Content : [-] Enable JavaScript

• QuickJava: https://addons.mozilla.org/firefox/addon/1237

See also "Spyware on Windows": http://kb.mozillazine.org/Popups_not_blocked