Be sure to check "Warn me when web sites try to install extensions or themes" so that sites you do not know cannot install these automatically. With this item checked, when a site tries such an action, you will be warned with a dialogue box asking you if you would like for the installation to take place.
The security options in Firefox are quite rigid. The browser not only lacks a zone model, but also site-specific settings; all of the settings are global. In addition, users have to switch active content on and off via the browser settings, which is rather indirect. The Firefox community has therefore produced a number of extensions that remedy this situation.
The NoScript extension allows you to limit the execution of active content to trustworthy sites.