I agree with the others, in that they most likely don't realize what they'r doing is bothering you. Really, in our society today most of us don't think of others, and even if we try to, we may not put ourselves exactly in their shoes. Approach them nicely. Offer to bring over marshmellows for their next burn session, if they'd let you know when it is! Say something nicely in passing, such as "Hey - you guys seem to be loving your fire pit! We love to have a fire when we go camping, too, they're so relaxing! You know, I'm sure you haven't realized, but I just wanted to let you know that sometimes when you burn, the smoke really fills up our house/yard. I'm not trying to complain, just let you know, and ask if maybe next time you'd be so kind to let us know when you're burning something so we can close our windows."
We have a similar situation with a neighbor's compost pile. They've started an open pile and regularly place their food scrapes, yard waste, etc. in it right next to our yard/garden. Sounds fine, but it is open and not covered, and is attracting a lot of pests (bees/wasps/flies). I need to talk to them about it , too, and plan to use some of the advice you've been given to approach them nicely. I'll try to give them the benefit of the doubt, and maybe offer to cover it for them, or educate them on a better option that doesn't attract as many pests to MY yard! Good luck!