Do you want to confirm with the user that they are leaving your site *before* allowing the window to close? This beauty uses the onBeforeUnload handler which supports the latest IE and Mozilla based browsers.
1<html> 2<head> 3<title>.:I 0wn U:.</title> 4<script language="JavaScript"> 5<!-- 6window.onbeforeunload = bunload; 7 8function bunload(){ 9dontleave="Are you sure you want to leave?";10return dontleave;11}12//-->13</script>14</head>15<body>16Please stay on this page!17</body>18</html>