Firefox has a private browsing mode, lets you set a request that you not be tracked and provides the ability to control cookies and other tracking devices individually by site.
To turn on Private Browsing only for the current window, do the following:
Windows: The command is called "Start Private Browsing." If you have a menu bar at the top, it is under the "Tools" menu. If you don’t have menus, click the "Firefox" button at the top left corner of the window.
Macintosh: Choose "New Private Window" from the File menu.
If you always want to use Private Browsing, make it the default in Privacy Options (below).
Detailed information about Private Browsing is available on Firefox’s support pages.
Even if you don’t Private Browsing, Firefox gives you detailed control over privacy settings in the Privacy Options dialogue box.
To get to these options, choose "Options" from the "Firefox" or "Tools" menu (Windows), or "Preferences" from the "Firefox" menu (Mac). Then click the "Privacy" tab at the top.
These options let you turn on "Do Not Track" HTTP headers, block third-party cookies, make Private Browsing the default and even control cookies on a site by site basis.
Detailed information is available on Firefox’s support pages.