If you are trying to confirm closing the window, you can do it in IE, but I don't think you can in Netscape (maybe someone else can say).
You can use IE's document.onbeforeunload event, and cancel it. IE then automatically displays a confirmation dialog. If you try to put in your own confirmation dialog, the user will then see two dialogs if they cancel.
But if you mean you want to confirm something else and take some action, you might try the window.onunload event, because that is cross-browser.
(Old dog learning new tricks...)