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.';
        }

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.

Javascript to warn the user that they will lose data if they go away from this page

JavaScript