Below is the code:
<script
language="javascript"
type="text/javascript">
window.onbeforeunload = function()
{
    return "Are you sure want to close";
}
</script>
Above code will execute on 
every postback. The alert message will appear on any click event like 
button,links, hyperlinks etc
 If we don't want this 
message on click of buttons and links we have to implement below code :
<script
language="javascript"
type="text/javascript">
          window.onload = function() {
   var btnRelease = document.getElementById('<%=
btnRelease.ClientID %>');                 
//Find the button set 
null value to click event and alert will not appear for that specific button
                  function setGlobal() {
                      window.onbeforeunload = null;
                  }
                  $(btnRelease).click(setGlobal);
 
 // Alert will not appear for all links on the page
                  $('a').click(function() 
{
                      window.onbeforeunload = null;
 
                  });
                  window.onbeforeunload = function() 
{
                          return
'Are you sure you want to leave this page?';
                  };             
          };
      }   
 </script>
 Now alert/confirm message 
will appear only on back button of browser.