Depends on what version you have, but the quickest way is to go to the "Tools".
There you will find a menu item called "Clear Recent History". You can set it up to delete what you desire...everything, only cookies, only download content etc etc. The latest version of Firefox will have what you want to clear right on the "Clear Recent History".
On older versions you go to "Edit -> Preferences", then to Security tab, from there you'll see a menu item called "Private Data". Click on the settings button and set up what you want Firefox to do when you select Clear Recent History.
Once you have that configured you can just hit "Ctrl + Shift + Del" and it will clear everything automatically.
Hope that helps