What is in the unwanted windows, ads?

You may have ad / mal-ware. Further information can be found in the Troubleshoot Firefox issues caused by malware article.

Run most or all of the listed malware scanners. Each works differently. If one program misses something, another may pick it up.

Adblock Plus {web link} Blocks annoying video ads on YouTube, Facebook ads, banners and much more. Adblock Plus blocks all annoying ads, and supports websites by not blocking unobtrusive ads by default (configurable).

Adblock Plus Pop-up Addon {web link} Adblock Plus Pop-up Addon extends the blocking functionality of Adblock Plus to those annoying pop-up windows that open on mouse clicks and other user actions.

Forum; Adblock Plus Homepage {web link}

One way this can happen is when Firefox shows the Open/Save/Cancel dialog and instead of choosing an external application, you direct the download back to Firefox. If you know the file type, you can go into Options > Applications and undo the assignment. If not, you can remove the mimeTypes.rdf file to reset download assignments back to their defaults. Please see this article for more information: Firefox repeatedly opens empty tabs or windows after you click on a link.