Please be aware that you are not invisible on the internet. If you have someone monitoring your system, then they will be able to see what you are doing on Firefox.

You can tell Firefox to clear your history and sessions when you close it. These settings can be found in the Privacy section of the Firefox options.

Warning: If you are using a system governed by a policy that restricts you from performing certain operations or modifying certain settings, please ensure that you have full permission to change the Firefox settings without violating the terms of service on your network. Please contact your network administrator for further information.

I am not so worried about strangers on the internet. It's more like a room mate accessing my computer...is that the same either way?

Why don't you have a separate Windows Logon User Account for your roommate? http://www.bleepingcomputer.com/tutorials/create-new-user-account-in-windows-vista-7/

Your roommate can use his / her own logon and not have any access to your data or history.

There are a lot of options here. My first suggested would still work or you can have a separate user account on your Windows computer, as suggested above. That is probably the ideal solution, since it would protect your files as well.

You can also Profile Manager - Create, remove or switch Firefox profiles. The Firefox profile holds all of your Firefox data, so if you each had your own profile, then you would each have your own control over settings, extensions and personal data. The only downside to this is that there is not currently an option to password protect a profile, so nothing would be stopping your roommate from simply opening Firefox using your profile.