kemp_Drumsalot, what type of answer are you looking for?
Firefox is less vulnerable than IE.
Firefox is open source whereas IE is a Microsoft product
Firefox allows the use of tabs- IE did not until IE7 was released.
Firefox allows extensions to be added.
A firewall is not a built in feature of a browser, so neither include a firewall. However, a firewall can be enabled for use with either browser.
Anything else?