Warning does not appear when closing multiple tabs
From MozillaZine Knowledge Base
When you have multiple tabs open and you close the window or you exit Firefox or SeaMonkey, a warning dialog should appear asking you to confirm that you want to close the open tabs. If this does not happen, open about:config (see the linked article for details). If you find any of these preferences in bold text with Status: user set and Value: false, reset to the default "true" value (double-click to toggle):
Starting in Firefox 3, you do not get a "Save and Quit" dialog when exiting, if you choose Tools -> Options -> General (Firefox 3.6) or Main (Firefox 3.5) / Startup: "When Firefox Starts": "Show my windows and tabs from last time". If that option is selected then your saved windows and tabs will already be reopened the next time you start Firefox. To get a warning, you have to select one of the other choices ("Show my home page" or "Show a blank page").
If you still do not see a warning dialog when closing multiple tabs, tey restarting Firefox or SeaMonkey 2 in Safe Mode, which will temporarily disable all extensions (or else disable your extensions in the Add-on Manager) to see if an extension is causing the problem.