BUG in Firefox U3?

Hallo everybody!
My 1st post here...
I've tried to find something about what I'm looking for, but seem I found nothing...so, I'm opening a new post, trying to write more information as possible.

I'm using a U3 SanDisk Cruzer Micro 4GB, and I've seen that when Firefox is not running and I click on a link from another application (ex.: a link in a Thunderbird-U3 message), it lost anything of his settings (bookmarks and extension), that works perfectly again if I copy the adress from the adress-bar, close Firefox and restart it from the U3 launchpad.

I've installed in it three extensions: Sage, FireFTP and the SignupShield bar (this last one comes with another U3 application that make me easy the use of forms, login and the password management - for the ones that don't know it).

My OS is WinXP sp2
I don't have Firefox installed on my computers but I use just the U3 browser.
Firefox U3 is setted as the default browser.

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I've experienced the same problem in Thunderbird: when i click on a "mailto:" link, in Firefox-U3 or in IE7, Thunderbirds-U3 open asking the account informations (as in the first run), but if i close it and restart from U3 launchpad, nothing seems happened. - same setting as Firefox: not installed on my computers but setted as default e-mail client. - Should I open a new thread in "Thunderbird" section?
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These problems are fixable with some special setting I didn't know? Or caused by a setting I did? Or it's a bug?

Thanks for any useful information and for any help... and sorry for my bad English and my grammar mistakes (I'm italian!)