Try temporarily disabling JavaScript. In the Tools menu select Options to open the options window. In the options window select the Content panel and then de-select the setting "Enable JavaScript". Now close the options window and see if you can close the tab. You can re-enable JavaScript afterwards.

For info Firefox 4 will have a feature that allows you to stop a site from displaying multiple alert boxes from a site. You can use the AlertCheck extension to add a similar feature to Firefox 3.6

Thanks Tony, I did what you said and it did get rid of the site. However, Tony, the tab still remains and here's the "odder" part. The little red box that has the little white "x" in it, to click to close the tab, is only in the problem tab when there are multiple tabs open. Example, if there are 4 tabs open, all for tabs have a little "x" to the far right to click. As I start to close the other tabs and eventually get to the problem tab, its "X box" disappears. Moreover, I can use the problem's tab "x" to close all other tabs. But not its own.

Bizzare. Thanks again, Cleghorne.

You can leave one tab extra open and middle-click the problem tab to close that tab.
Firefox doesn't display a close button on the last tab, so you need to close that problem tab while other tabs are still open.

Delete the files sessionstore.js and sessionstore.bak and any existing files sessionstore-##.js with a number in the left part of the name like sessionstore-1.js to prevent Firefox from restoring the last session.

See http://kb.mozillazine.org/Session_Restore

Set the pref browser.sessionstore.max_resumed_crashes to 0 on the about:config page to get the about:sessionrestore page immediately with the first restart after a crash has occurred or the Task Manager was used to close Firefox.

To open the about:config page, type about:config in the location (address) bar and press the "Enter" key, just like you type the url of a website to open a website.
If you see a warning then you can confirm that you want to access that page.