My suggestion would be to get a download manager add-on (I use DownThemAll) most have a cancel download feature in their interface.
I suggest this because trying to cancel a download using the download manager that is built into firefox is actually more complex than you would think. From what I gather you have to change a default setting in one of the config files so that closing the browser completely stops the download instead of just pausing it until the next time you reopen the browser.
Near the files you are downloading there is a cancel button. There are other option like pause or resume download. I would recommend you to use download helper 4.8.1 It is good for me, so i think it will work for you. It works in firefox, you can always go to your add-ons to disable or enable it. Can also use it to download movies or videos.
Thanks crunchie for reminding, but while is it still active. I thought it was a new thread cause when i see it i saw someone posted here two days ago, i did not check when the thread started. Thanks anyway crunnchie
Well As i can see that Salem has already given you the perfect solution for the same. But if you still unable to stop download as if this window has minimized. Then you must maximize it by clicking at the right bottem of your browser where you will find the status of you download. check in the attachment.