Firefox 4 and later versions save 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" (Mac: "Firefox > Quit Firefox") if you want to restore multiple windows.
You can use "History > Restore Previous Session" to get the previous session at any time.
You may need to click the orange/gray Firefox button to see History.
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"

Hey, Thanks for the help.

In FF6: - There is no option for : Firefox/Tools > Options > General > Startup: "When Firefox Starts": "Show my windows and tabs from last time" - Id like for the previous sessions tabs to open automatically. This worked in FF4. Instead I have to go to my history and reload them. The "exit" option may save in history but doesnt open them in tabs on open of the browser.

Its odd that this feature was lost so I suspect its hidden somewhere,

There is an option in Options->General->Show my windows and tabs from last time. If this is supposed to open the tabs open when the browser closed then this feature appears to not be working.

@efutoran: FYI on a MAC there is no "Options->General->Show my windows and tabs from last time" It is not called Options. That might be a bit confusing to Mac users. In my newly upgraded FF 6 I have Firefox>Preferences>General

I have this issue also. Cannot Save Tabs or Pin Them. I have used about:config to turn on - Save on exit for tabs and such. I have "Show my windows and tabs from last time" set. (as it always was) But upon restarting FF6 on my MAC "Restore previous session" and "Recently Closed Tabs"..... is greyed out.. I am not in Private Browsing Mode.

I looked for the Pin Tab "button" that was described in another post, but I cannot see it. There is nothing to the Left of my Tabs. Bottom line is I cannot figure out how to save or restore Tabs Groups

Ubuntu Linux users: In Firefox 6.0.2 for Linux I can go to Edit->Preferences from the top menu. When the Preferences window pops up, there is a button on the top left called "General". If I click "General", I am given three sections to make changes in: Startup, Downloads, and Add-ons. In the Startup section there is a dropdown text box labeled "When Firefox starts:". From that dropdown I can choose: "Show my home page", "Show a blank page", or "Show my windows and tabs from last time". Optionally, I can choose History->Restore Previous Session from the top menu.

Update: While testing this feature I noticed a bug. I suspect this is not a Firefox bug, but is caused from my addon NewTabURL. I noticed that the last tab did not contain the web page from my previous session. Instead, it showed my home page. However, when I clicked the "back" button, it was eventually able to find the page. I confirmed this by temporarily disabling NewTabURL and the problem went away. I recommend you not disable your NewTabURL as this is a very nice add-on. Just remember to click "back" a couple of times for your last tab. Otherwise just throw in an extra tab before you close FF. That way, NewTabURL has something to chew on when your restore your session.

In general, however, I consider the new restore session scheme to be bad. Now you have thousands of people out there closing down without knowing that their previous sessions are being saved. The next person who comes along restores the session and now has all the access to every website the user had open. As an example, if I close my browser while viewing my email, the next person has immediate access to it. This is not to say that they couldn't have gotten into my email anyhow, but I guarantee you, there will be far more opportunities for inside office hackers to to get into your bank account, eBay account, Amazon account, email, etc...