Example with form, you'are looking for window.onbeforeunload:
<script type="text/javascript">
var originalFormContent
var checkForChanges = true;
jQuery(document).ready(function () {
originalFormContent = jQuery('#myForm input[type=text]').serialize() + jQuery('#myForm select').serialize();
});
function onClose() {
if (checkForChanges && originalFormContent != "undefined") {
var content = jQuery('#myForm input[type=text]').serialize() + jQuery('#myForm select').serialize();
if (content != originalFormContent) {
return confirm('You have unsaved changes. Click OK if you wish to continue ,click Cancel to return to your form.');
}
}
}
window.onbeforeunload = onClose();