Firefox doesn't have this feature built in. You may have used another site previously, such as iGoogle (before it was retired) or Yahoo, and there are many to choose from. If you open your "old" browser at the same time as Firefox and copy the address from your home page there over to Firefox, address bar-to-address bar, does that get you to the page you're looking for?

Upon second reading, maybe... When you first install Firefox or when you update Firefox, a welcome page appears in the first tab with the Firefox home page in the second tab. Can you close that first tab to get to the second one? Normally there is a small "x" to close the tab on the right edge of each tab. Or you can right-click it.

Is it that you don't know how to set the home page, or that it will not change? Firefox Options > General > Home Page.