Firefox 4 has got some amazing improvements in UI design which has made it more faster and easier to use, and now it has become more easier to move to private browsing mode in which no website visiting history is recorded. In this firefox followed the trends of other browser like IE9 and google chrome which has a unique keyboard shortcut for entering the private aka incognito mode of browsing, the short remains the same in firefox 4 too.
Just when you press the private browsing mode shortcut, it will show you a message prompt which says that once you enter the private browsing mode your existing session will be saved and all the website opened previously in separate tabs will be remembered as you can see in the image below.
Another way to start or stop the private browsing in firefox is through the main context menu as highlighted in the image below.
Similar once you are done with all the browsing in private mode, you can simply exit and regain all the tabs opened in normal public browsing mode as shown in the image below.