One change in Firefox 4 is to by default stop Firefox displaying the warning message, but it can be turned back on by changing some preferences.
1 Type about:config into the location bar and press enter
2 Accept the warning message that appears, you will be taken to a list of preferences
3 Locate the preference browser.tabs.warnOnClose, if its value is set to false, double-click on it to change its value to true
4 Repeat this for these 2 preferences browser.warnOnQuit, browser.warnOnRestart
5 Starting with beta 12 there will be an additional preference that needs to be set to true – browser.showQuitWarning