Easy to use in C# ASP.NET:
to prevent a user from losing data when navigating away from whatever page they are on, just add
string setConfirmUnload = "setConfirmUnload(true);";
ScriptManager.RegisterStartupScript(this, this.GetType(), "", setConfirmUnload, true);
to you code somewhere, or just call
setConfirmUnload(true);
from the onClick or onClientClick even of a link.
To allow a link to navigate away, pass in false instead.

Might be handy on an ASP.NET master page.

function setConfirmUnload(on) {
            window.onbeforeunload = (on) ? unloadMessage : null;
        }
        function unloadMessage() {
            return 'You have entered new data on this page.  If you navigate away from this page without first saving your data, the changes will be lost.';
        }