You can change the preference browser.download.manager.closeWhenDone

1. type about:config in your Location Bar, like typing a web site address, and press the Enter key
2. ignore warning and choose to continue
3. in Filter, type browser.download.manager.closeWhenDone
4. in lower part of screen, double-click to toggle the value to "true"
5. close about:config tab
6. See:
   • http://kb.mozillazine.org/About:config
   • https://developer.mozilla.org/en/Download_Manager_preferences

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See also:

• Tools > Options > General : Downloads : "Close it when all downloads are finished"

• Press F10 or tap the Alt key to bring up the "Menu Bar" temporarily if the Menu Bar is hidden.
• Use "Firefox > Options" instead of "Tools > Options" if the menu bar is hidden.

• https://support.mozilla.org/kb/Options+window+-+General+panel
• https://support.mozilla.org/kb/Downloads+window