When multiple tabs are closed a warning is generated with an option to cancel or proceed. Because of a fix of one particular bug this warning may not be disabled by the user in Firefox 16.
This problem will be fixed in Firefox 17, although that does require you change a preference. This is something that is in the process of being suitably documented in the Knowledge Base. The Tab preferences and settings article will be updated any time now.
Meanwhile any user wishing to resolve this now may use a Firefox channel that has Firefox 17 Beta 4 or newer (at the date of writing this advice the Aurora channel needs to be used, that is only considered suitable for advanced users). Firefox Beta is more suitable for general use and Firefox 17 Beta 4 is planned for release the first week in November.
if you do install a newer Firefox version please do NOT use any option to remove personal settings, because you will destroy bookmarks and passwords.
The method of changing the behavior in the newer Firefox versions involves use of about:config and searching for the preference browser.tabs.warnOnCloseOtherTabs and then right clicking it so that you may toggle it to false.