Huh???
Firefox handles links the same way on Windows and Mac OS X.
(Firefox on OS X and on Windows are
practically identical, except a few very subtle differences,
such as clicking on the address in the Location Bar does not select the whole address.
And actually, even this can be configured.)
As giulio said, whether visited links are a different color than unvisited links
is determined by the coding of the page, not by the browser.
For instance, go to
http://www.google.com/
Click on Images, then go Back. The "Images" link is still blue, not purple.
(This is the
SAME in Internet Explorer on Windows too, by the way.)
Now, go to a Wikipedia page
http://en.wikipedia.org/wiki/Mac_OS_X
Click on any link, say "Apple Inc." and go Back.
The link is now in purple.
(Once again, it's the same in IE.)
Edit:
I just tried it out; I get the same behavior in Firefox (OS X), Firefox (Windows), and Internet Explorer.