Help! My browser won't let me get firefox!!

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Does anyone know how to get firefox instead of internet explorer if internet explorer closes everytime a page closes. I'll have 10 pages up and i'll close one or an ad will pop up and close itself (like when I try to download firefox) and every single page will close. All I want is a browser that won't close my windows when one closes. It does it everytime. Does anyone know how to make it stop or get around it?