If i close the firefox, the "download windows" also close .
If i close the firefox, the "download windows" also close , but they are still some file not yet finish download, but the download windows close afetr exit firefox, and the downloading file appear "completed", but it didn't .
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You can set the pref browser.download.manager.quitBehavior to 2 on the about:config page.
That will make Firefox ask for confirmation if you want to cancel the download if you close Firefox.
See http://kb.mozillazine.org/browser.download.manager.quitBehavior