This is caused by the removal of the
-remote command-line switch in Firefox 36. If you have Mozilla Firefox selected as your preferred browser in the Preferred Applications settings, the terminal (or, rather,
exo-open) is still trying to use that obsolete switch, which confuses Firefox.
See this bug report (bug #1429284) for more details.
In any case, there's a very simple work-around:
Open the Preferred Applications setting (found under Settings in the Xfce menu, or by running
exo-preferred-applications from the command line).
Click the Web Browser selection menu, and select "Other..."
firefox (or, equivalently,
firefox "%s"), in all lower case, into the dialog that opens:
You should now have "firefox" (as opposed to "Mozilla Firefox") selected as your preferred browser. Now just close the Preferred Applications settings, and try opening a link from your terminal — it should work normally again.