Why is this dialog being displayed when I start firefox?
This isn't a dialog, this is the result of mounting (opening) the Firefox.dmg (think of it as an archive or drive image). For mac users it's obvious - you should drag the FF icon to the Applications folder shortcut (the blue folder). This will copy the Firefox application in the /Applications/ folder. Then just unmount (eject) the Firefox.dmg archive and start Firefox from Applications (like you start the rest of your applications).