Do you mean this: --?
return ("You are now leaving this page...");
When you leave the page, the dialog box picture that I attached will show up (assuming you have windows 7)...
Or do you mean a page that you can't close?
Doing the second thing is impossible, but you could try:
Whenever you try to close the window, the same page pops up.....
I DO NOT reccomend doing this because it will annoy