Do you mean this: --?
CODE
<script type="text/javascript">
window.onbeforeunload=youAreNowLeaving;
function youAreNowLeaving()
{
return ("You are now leaving this page...");
}
</script>
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:
CODE
window.onbeforeunload=youAreNOTLeaving;
function youAreNOTLeaving()
{
window.open(window.location.href);
}
Whenever you try to close the window, the same page pops up.....
I DO NOT reccomend doing this because it will annoy

your users......