Mozilla’s upcoming ‘Do Not Track‘ feature (which allows users to opt-out of the online behavioral advertising) has landed in the nightly build of Firefox. This feature utilizes HTTP Header sent to web servers to tell user’s preference to opt-out of OBA.
To try this, one can install nightly build of Firefox. You can find the option "Tell web sites I do not want to be tracked" in Tools Menu > Options > Advanced > General > Browsing.

This option is disabled by default. Once a user has set this preference, Firefox sends a HTTP header DNT: 1 to web servers with every connection request. This syntax has been recommended by the researchers at donottrack.us also. Though, I’m not sure if the web servers understand this syntax yet.
Also see: Chrome extension to opt-out of online behavioral advertising
Update: Visit this page to check DNT settings of your browser: http://blog.arpitnext.com/tools/dnt.php
this is not for Firefox 3.6.13. It works only with Firefox 4 beta currently.
Firefox 3.6 users should install “Universal Behavioral Advertising Opt-out” add-on from gallery
https://addons.mozilla.org/af/firefox/addon/12765/
@Stann: the DNT HTTP Header and universal behavioral advertising opt-out header, both don’t work at the moment. These are just proposals by Mozilla.