I think he's referring to the whitepaper by Alex Barnett
(Yogesh, please correct me if I'm wrong). The paper mentions that downloaded files using the private browsing mode of FireFox 3.6.16 appeared in a Firefox jump list. It'd be interesting to see if this issue is still there...
I recently set up a new VM (Win7 Ult, 32-bit) and installed Firefox 9.01. I launched it, set it to private browsing, and downloaded two files from SysInternals. I then closed FF, shut down the VM, and loaded the VMDK file into FTK Imager...no Jump Lists appeared to have been created for the FF downloads.