Re: when I go to certain web-sites now(such as Amazon.com/ebay/there is a yellow tab on the right side in the middle of the page that has "Local directory" written
It might be a feature of an add-on. Could you review the list on the following page and disable everything that is not essential, restart Firefox, and see whether it goes away:
orange Firefox button or classic Tools menu > Add-ons > Extensions category
By the way, you are not really running Firefox 4.0.1 are you? There might be a problem with the forum's version detection; you can check Help > About Firefox for the true version. Version 4 contains numerous publicly disclosed security vulnerabilities and is dangerous to use on the web. You should update ASAP.