FeF3, with its half-filled Fe 3+ 3d orbital, hence zero orbital angular momentum and S = 5/2, is often put forward as a prototypical highly-frustrated classical Heisenberg pyrochlore antiferromagnet. By employing ab initio density functional theory (DFT), we obtain an effective spin Hamiltonian for this material. This Hamiltonian contains nearest-neighbor antiferromagnetic Heisenberg, bi-quadratic and Dzyaloshinskii-Moriya interactions as dominant terms and we use Monte Carlo simulations to investigate the nonzero temperature properties of this minimal model. We find that upon decreasing temperature, the system passes through a Coulomb phase, composed of shortrange correlated coplanar states, before transforming into an "all-in/all-out" (AIAO) state via a very weakly first order transition at a critical temperature Tc ≈ 22 K, in good agreement with the experimental value for a reasonable set of Coulomb interaction U and Hund's coupling JH describing the material. Despite the transition being first order, the AIAO order parameter evolves below Tc with a power-law behavior characterized by a pseudo "critical exponent" β ≈ 0.18 in accord with experiment. We comment on the origin of this unusual β value.