The onbeforeunload event handler (supported by Internet Explorer 4+ only) can be used to confirm that the user does want to close the browser window or navigate away from the current page. If your event handler returns something, this message will be included in a confirmation which the user must click OK to. If you do not return anything, the event handler is ignored:

var saved = false;

window.onbeforeunload = unloadHandler;

function unloadHandler() {
	msg = "You will lose all data associated with this screen."
	if (saved) return msg;
}