Unlike Google Chrome and Internet Explorer 8 Firefox does not provide any in-built private browsing mode, However you can setup Firefox for private browsing using a separate profile as demonstrated below:

1. Goto Windows Start Menu -> Run (or Use Windows Key + R).
2. Type in firefox -ProfileManager and hit enter.

3. Firefox Profile Manager should launch, click the Create Profile button as shown above.
4. Type in Private as the new profile name.

5. Click Finish to complete the profile creation dialog.
6. Create a new shortcut on desktop entering the target as firefox -P Private -no-remote (where Private is your profile name).
7. After Firefox is launched using our new profile, Goto Tools -> Options -> Privacy and check the “Always clear my private data when I close Firefox” and uncheck “Ask me before clearing private data” options.
8. Now you are ready to enjoy private web-surfing, just use the newly created shortcut when you want to browse privately, You can use Normal and Private mode firefox windows side-by-side.
9. You can also install your favorite firefox add-ons like Ad-Blocker and Linkify to your private profile for efficient browsing.