Firefox 4 and later versions savs 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.
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.

Another possibility is to use:

• [http://kb.mozillazine.org/Menu_differences Firefox > Preferences > General > Startup: "When Firefox Starts": "Show my windows and tabs from last time"

I also have this problem, how do i change it back? I managed to change it back in firefox 4 but now i updated to 5 and i can't.

I have tried looking in about:config for browser.showQuitWarning, browser.tabs.warnOnClose, browser.warnOnRestart and browser.showQuitWarning and they are all set to true but it still doesnt ask me if i want to save the tabs or not.

Thank you cor-el for the solutions. I've managed to make the dialog box appear by clicking the x button (upper left corner). But the thing is, I don't use that button. I always use command + w to close a tab, and command + q to close the program. None of these steps will make the dialog box to pop out. I am a little uncomfortable with this problem because whenever I have 10 tabs open and I wanna close one tab (command + w), I sometimes press the q instead of w because they're so close.

You've also mentioned something about Firefox 4 and later saving previous session. I think that's the reason why the dialog box isn't coming out. Firefox might be programmed to save sessions but on my Preferences > Privacy, Permanent Private Browsing mode is checked. Meaning to say that Firefox will not remember anything (browsing history, search and form history, cookies, etc.) when I command + q Firefox.

Conclusion: I think it's my settings that made this problem. Setting Firefox to not remember anything will not save any session, thus disabling the ability to restore previous session. I think it would be better if Firefox would still have the dialog box even though we know that it automatically saves the session for us.

browser.startup.page -----> set it to 3