That's because the Dock icon is pointing to the Firefox application inside the disk image. Drag that off of your Dock and let it disappear...we'll fix that in a minute.
Let's take this step-by-step.
1. Do you have Firefox installed in the Applications folder of your hard drive? Rather than using a Dock icon or anything, navigate to it using Finder and try opening it from there. Does it work? If so, you can "eject" the Firefox drive icon and delete the original .dmg file that was downloaded. Once you're sure that you're running the Firefox application in your Applications folder, you can right click on the Dock icon and select the "Keep in Dock" option to give you easy access to it.
2. If Firefox is not in your Applications folder, you need open the Firefox drive icon (double clicking the original .dmg file if necessary in order to make the drive icon appear), then drag the Firefox icon inside there to your Applications folder. Then go back to Step 1.