Yup, I said “clicking.” Many people don't know that the scrollwheel acts as a middle mouse button (MMB) when you push down on it. So what? Well, the MMB does some very cool things, particularly in web browsers, like Firefox. Clicking a link with the MMB will open it in a new tab (or window depending on how your browser is configured). Click on a tab with the MMB and the tab closes. Click on a bookmark with the MMB and it will open in a new tab/window. (I believe IE works similarly.)
Alternatively, you can hold the Ctrl key (Win) or Command key (Mac) down while you click the LEFT mouse button and accomplish the same things.