My searching turned up a lot of people with this problem, and it seems that the standard answers are that it was fixed in version x or its your Add-Ons.
I'm running Firefox 3.6.6 and just installed ZoneAlarm Anti-Virus 9.1.507.000. My Firefox Add-Ons are: Java Console 6.0.7, 6.0.13, 6.0.15, 6.0.17, 6.0.20; Microsoft.NET Framework Assistant 1.1; XUL Runner 1.9.1; and ZoneAlarm Toolbar 126.96.36.199.
If I disable ZoneAlarm toolbar then I can open multiple Firefox windows. If I enable it, I cannot.
Seems to me that the problem hasn't been fixed, and if my set of Add-Ons is causing a problem, then there seems to be something fundamentally wrong with the ZoneAlarm Toolbar for Firefox.