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.