Hi, can I ask you what version of Firefox you have installed and what operating system you're running?

Have you also tried refreshing Firefox from Help/Troubleshooting Information?

Are you possibly in permanent Private Browsing mode (Always use Private Browsing mode; Never Remember History)?

• Options/Preferences -> Privacy -> Firefox will: "Use custom settings for history"
  "Always use Private Browsing mode"

In that case all windows you open are automatically Private Browsing mode windows and you do not see any confirmation whether PB mode is active. You can see this by the missing of the "New Window" item in the File menu to open a regular window.