go to TOOLS then OPTIONS then GENERAL tab then in START UP session scroll and select SHOW MY WINDOW AND TABS FROM LAST TIME then click OK to save it, exit firefox and restart.

thank you

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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 or otherwise have problems with restoring tabs.
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.

It seems silly to change the mechanics of session restore