Cannot keep download window open when web window is closed. Any solution?

Currently running Firefox 19.0. Upon this update I cannot keep my download window open / running unless I have a web window open. When trying to close the web window while downloading a file, I get the message, "If you leave the Private Browsing mode now, 1 download will be canceled. Are you sure you want to leave the Private Browsing mode?"

In previous updates I was able to have the download window open without any web window being open. Simply, I'd like to just have my d/l window open by itself, no web window open, as I was able to in previous updates.

Is there any solution?

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