Look into Jquery's .beforeunload property. Here is an example:
$(window).bind('beforeunload', function(){ return 'Click OK to exit'; });
Please note, beforeunload canot prevent a page from unloading or redirect it to another page for obvious reasons; it would be too easy to abuse. Also if you just want to run a function before unloading, try the following:
$(window).unload(function(){ alert('Bye.'); });
Finally, don't forget to referrence jQuery in your head tag by using:
<script src="http://code.jquery.com/jquery-latest.min.js" type="text/javascript"></script>
The above gets you the latest version from the internet and saves you the trouble to download it, and of course you can do so optionally, but I am just trying to get your thing to work asap.
Oh, I also found an example for you. Click here to see a page that calls a function before it closes. Hope this helps bud.