Go to 'Proxy' tab > 'Options' sub-tab > 'Proxy Listeners' section, and validate the proxy listener settings. It should be same as that set in the Firefox browser, i.e., enable a proxy listener for localhost (127.0.0.1) on port 8080.
Switch to your Firefox browser and navigate to www.example.com
Switch back to Burp and navigate to the "Intercept" tab.