One of the new XMLHttpRequest features in Firefox was cross-site requests. It was based on an W3C specification and would have allowed web content to make cross-site XMLHttpRequests. I say “was” and “would” because that feature was removed in Firefox 3.0b5 due to security concerns and some specification changes too close to the Firefox 3 release.
Extension developers have always been able to use cross-site XMLHttpRequests and this change will not affect your ability to keep making cross-site requests. It only affects web content.
Rest assured, cross-site XHR for web content will be back, just not in Firefox 3.