Firefox security question

A popup window on a site that I've never visited before just displayed the
name of my town. How did it get this information? Firefox remembers a lot
of information, some of it very sensitive like passwords and credit card
numbers. I was under the impression that this information is restricted to
the website that asked for it in the first place, but apparently it isn't.
Are there any way to protect this information? I'm running Firefox 1.5 on
FC4.

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