Firefox has a spooky feature called "Prefetching" that downloads pages that it thinks you are going to click on. (note: this is a good excuse for how those pages ended up in your history). It's also a waste of CPU and bandwidth that slows Firefox down.
To turn off this behavior, type about:config into the address bar, and then type the following into the Filter bar:
Just double-click the item in the list to change it to false.