Firefox doesn't have a preference that you can set for a confirmation for closing a window with a single tab. There might be a tab-related extension that adds that feature, but I haven't heard of it.

A download should continue after closing the last window, a download progress indicator is supposed to appear in the Windows Task Bar when the last window is closed. Maybe you have an extension installed that changed that action.

Try closing the last window while doing a download when running in the Firefox SafeMode?
http://support.mozilla.com/en-US/kb/Safe+Mode
Don't select anything right now, just use "Continue in SafeMode."

If not, see this:
http://support.mozilla.com/en-US/kb/troubleshooting+extensions+and+theme...

You can set the pref browser.download.manager.quitBehavior to 2 on the about:config page.

See http://kb.mozillazine.org/browser.download.manager.quitBehavior

To open the about:config page, type about:config in the location (address) bar and press the "Enter" key, just like you type the url of a website to open a website.
If you see a warning then you can confirm that you want to access that page.

Thank you cor-el. That is definetely what i look for. It solved my problem.

Also thank you the-edmeis for your comment.