If you're used to the window closing behavior in IE, where clicking the Red X in the corner closes the current browser window, getting used to closing tabs might be tricky. One way to make closing your tabs easier is to add a close button to each of the tabs using Tab X. This Firefox extension puts an X in the right corner of each tab, making it simple to clear out tabs when you no longer need them. You can still close the current tab using the keyboard shortcut Ctrl+W, but you get the added advantage of closing a tab out of sequence with the click of your mouse.
Firefox before Tab X:
Firefox after Tab X: