This is not really a JQuery thing, I use this functions:
function setConfirmUnload(on) {
window.onbeforeunload = (on) ? unloadMessage : null;
}
function unloadMessage() {
return "Are you sure you want to leave this page";
}
Then, at any time you can call
setConfirmUnload(true) to enable the confirmation or false if you want to allow them to close the screen without a warning (if you have a close button for instance).