Warn user when leaving a page with changed data?

I'd like to know how I can warn a user when they're leaving a page where they've changed data (i.e. "You have unsaved data on this page, are you sure you want to abanon it?").  For example, the page has a few dropdown lists, some textboxes, etc.  I'd like to warn them if they try to leave the page before saving the data.   How can I do this?   To add to my confusion, I also have a dropdown menu control (skmMenu) on the page that doesn't seem to have any events I can tie into.
Any help would be appreciated.
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