I don't use FireFox so I'm sorry if this doesn't work, but here goes....
Click FireFox's menu button
and choose 'Options'.
Select 'Privacy' from the left pane and click the drop down menu next to 'History' and select 'Use custom settings for history'
Put a tick in 'Accept cookies from sites' and make sure 'Clear history when FireFox closes' is NOT ticked.
Hopefully a FF user will come along and correct this if it's wrong. : )