As announced some time ago, the latest Firefox 3.1 nightlies (Shiretoko) now feature a Private Browsing mode, where all user activity traces including history, cache, download history, saved passwords, searches, cookies, and others, are removed as soon as the user returns to normal browsing mode.
To enter Private Browsing, select Private Browsing in the Tools menu.
Firefox will ask for confirmation which you can disable for future uses.
Once confirmed, Firefox will save and close your current session and restart in Private Browsing mode. The only hint of this are the words (Private Browsing) displayed next to the window title.
Once you’ve finished, just click back on Private Browsing in the Tools menu. Your session will be restored as it was before entering private mode immediately or, if you exit Firefox (or crash), the next time you start it.
So, yes, there is no way to have normal and private mode windows or tabs at the same time. As Ehsan Akhgari (who’s worked on the implementation for the last ten months) explains, it would require deeper architectural changes to Firefox that may or may not occur in a future release.
Programming interfaces that tell the current mode, or when a user enters or leaves private mode allow extensions to also support private mode.
The super-paranoic can set browser.privatebrowsing.autostart via about:config to make Firefox always start in private mode.
Firefox user experience designer, Alex Faaborg, has shared other plans to improve privacy in Firefox that include a complete Privacy options redesign, and an option for clearing private data for a certain time frame.
But these and a better cue that Firefox is in private mode may not come until the next Firefox release (probably Firefox 3.2).