Intercept page exit event

See this article. The feature you are looking for is the onbeforeunload

sample code:

  <script language="JavaScript">
  window.onbeforeunload = confirmExit;
  function confirmExit()
  {
    return "You have attempted to leave this page.  If you have made any changes to the fields without clicking the Save button, your changes will be lost.  Are you sure you want to exit this page?";
  }
</script>

Similar to Ghommey's answer, but this also supports old versions of IE and Firefox.

window.onbeforeunload = function (e) {
  var message = "Your confirmation message goes here.",
  e = e || window.event;
  // For IE and Firefox
  if (e) {
    e.returnValue = message;
  }

  // For Safari
  return message;
};