I went to start a Java Web Start application today and was disappointed that it didn't work. The default operation is to open the jnlp file in Firefox, which only causes the dialog to appear again.
I recalled seeing a comment on Gregg's Getting Java blog from Simon Phipps who was having the same problem. The solution is to select "Other..." from the Open with drop down and then browse to /usr/bin/javaws. Also select "Do this automatically for files like this from now on.":
This is already tracked as a defect: Firefox needs a default MIME association for Java Web Start (JNLP).