Here's some sample test html:
<!DOCTYPE html>
<html>
<body>
<a href="javascript:alert('Not going anywhere!');">Go nowhere 1</a>
<a href="javascript:void(0);" onclick="alert('Not going anywhere!');">Go nowhere 2</a>
<a href="http://www.google.com">Go somewhere</a>
<script type="text/javascript">
window.onbeforeunload = function() { return "Really leave?"; };
</script>
</body>
</html>
This is available as a working page here: timjeanes.com/ie9_onbeforeunload.htm
In Firefox, Chrome and Safari, I get the behaviour I want. That is, clicking either of the first two links shows an alert dialog; clicking the third link (or otherwise navigating away) shows the "Are you sure you want to leave this page?" message.
However, in IE9, the "Are you sure you want to leave this page?" message also shows when you click either of the first two links, even though no navigation is taking place - we're just running some javascript.
Is there something I'm doing wrong? Or is there a nice workaround for IE?
One option would be to use href="#" and put my javascript in the onclick. I'm not keen on that as it takes the user to the top of the page, and my real-life page is quite tall.
I've not tested in other versions of IE.