Firefox 4 saves the previous session automatically, so there is no longer need for the dialog asking if you want to save the current session.
You can use "Firefox > History > Restore Previous Session" to get the previous session.
There is also a "Restore Previous Session" button on the default about:home Home page.

Another possibility is to use:

• Firefox > Preferences > General > Startup: "When Firefox Starts": "Show my windows and tabs from last time"
  

Make sure that you do not use Delete browsing, search and download history on Firefox to clear the 'Browsing History' when you close Firefox.

Problem is, it isn't saving the previous session.

I'm stuck on the session I had when I upgraded to 4.01, and the 'Restore previous Session' menu option is always greyed out.

Make sure that you not run Firefox in (permanent) Private Browsing - Use Firefox without saving history mode.

• You enter Private Browsing mode if you select: Firefox > Preferences > Privacy > History: Firefox will: "Never Remember History"
• To see all History and Cookie settings, choose: Firefox > Preferences > Privacy, choose the setting Firefox will: Use custom settings for history
• Uncheck: [ ] "Permanent Private Browsing mode"