Firefox's download window can sometimes be awkward, especially for people who like to do all their browsing in only one window. And, considering the default behavior of the Windows taskbar, to group all your windows under one icon and Mac OS X's dock which makes using multi-windowed applications kind of painful, restraining yourself to a window per application seems like the obvious thing to do in this day and age.
There are some add-ons that put your downloads in a tab (Opera style) like Downloads in Tab and I strongly believe that eventually Mozilla will make this a core Firefox feature.
A lot of people had a problem (and some still have) with Firefox 4+'s interface. "Chrome knockoff" and "dumbing down" are two terms that you might see pop out in internet discussions about Firefox's current interface. While I think the current UI is not that bad because it saves some more space and thanks to its minimalist style lets you focus on the job at hand, I understand and sympathize with people wanting to turn back the hands of time and return to the good old trusty Firefox 3.6.