I will answer it, supporting comment from @twall: When starting firefox in Selenium 2 WebDriver, it starts new, anonymous profile.
However, if you want to change it, you can create new Firefox profile and name it somehow, you know what it is – e.g. SELENIUM
Then in your code do this:
ProfilesIni profile = new ProfilesIni();
FirefoxProfile ffprofile = profile.getProfile("SELENIUM");
WebDriver driver = new FirefoxDriver(ffprofile);
That way, Firefox will always start that profile. In the profile you do all the settings you need