I'm getting the following prompt when browsing around the network. I'm using Firefox 6.0.2 on Windows XP.
Update Hmm seem to just be getting on meta now.
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We were having the same issue with Firefox 13. We were getting the prompt from moz-proxy and then from our proxy server when a page we attempted to connect to referred to sockets.ny.stackexchange.com
We were able to resolve it by disabling "NETWORK.WEBSOCKET.ENABLE" in the firefox config (about:config in the address bar). http://www.adamkoch.com/2012/05/04/moz-proxy-issues/
Update: Firefox has 4 options under network settings for proxy: HTTP, SSL, FTP, and SOCKS. Forcing SOCKS through the proxy is what corrected double prompts (one from Firefox and one from the proxy). If you cannot edit your Firefox Proxy settings, ask the IT staff to add socks to the proxy config. This is a better Enterprise solution that can be deployed by AD or PC Support team.
This is caused by a proxy or something in your local config (firewall, antivirus, etc) that is intercepting the traffic. It thinks we are bad, and we are not. Trust us. Really! (:
To verify that this isn't us, you can use the test page here. This will likely show the same issue and is outside of our control.
You are also using a very old version of Firefox, so upgrading that would be a good thing anyway and might have an effect on this.
I am behind "web washer" proxy and Doug T's solution did not work for me as the prompts continued. The issue is specific to FF since IE 9 doesn't support sockets.
I was able to avoid the prompts by adding sockets.ny.stackexchange.com to the "No proxy for:" field in Firefox. So far no ill effects.