Let me explain in detail what was going on:
I would use Firefox normally for some time and then as I would try to click on some link, it would try to change the page (or reload it) as if the connection was VERY slow with the progress not moving on the status bar (at the bottom) and sometimes showing the word "Stopped" on the bottom left. And it would stay like that forever.
If I exited (through menu) or just closed the window(s), the window will disappear as if it was OK (no error), but after waiting a few minutes, looking at the Task Manager, the Firefox process would still be there, and trying to end the process wouldn't do anything.
Trying to open a new Firefox window after that would give me the "the session is already open" error, and the only solution was to restart the system (very annoying).
Yesterday, I decided to uninstall completely Firefox, AVG and ZoneAlarm, removing all the personal data, and then reinstalled from scratch, first ZoneAlarm, then AVG and finally Firefox. Let's see if the problem still continues. I haven't had the problem yet today, but it's early to say if it is fixed.
EDIT: Didn't work.
Started happening again after 5 hours of use. My next decision is to disable (for a while) the Resident Shield of AVG to see if it helps. That way I'll know it's AVG.
malu
