Each Firefox window can have more than one website open at a time. This is called a "tab". Tabs can be located at the top of your browser, in the section called the "tab bar". Pressing the red "X" in the corner of your browser window will close all tabs contained in that window. That is why Firefox is warning you that you are about to close two tabs. If you do not have a second Firefox window open, this will close your only Firefox window, meaning the entire program will close. If you would like to close a single tab, please click the little "X" button on the tab that you wish to close (see screenshot). I hope that this answers your question.