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Launch Firefox and wait for it to completely load.
Click the "Firefox" button in the top-left corner of the screen and Select "Options".
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Click the "Privacy" tab at the top of the Options window.
Click the drop-down box in the "History" section of your privacy settings and select "Use Custom
Settings for History.
This displays a series of options below the drop-down box.
Deselect the two boxes labeled "Permanent Private Browsing Mode" and "Clear History
When Firefox Closes." Select all the other boxes.
Click the drop-down box under "Accept Third-party Cookies" and select "Keep Until They Expire."
Read more: http://www.ehow.com/how_8626972_lock-history-firefox.html#ixzz2fRLKOxZh