Alert with multiple options

Just wondering, is it possible to create an alert with multiple options?

Like for example, in Facebook, when you try to close the tab/window when you have not finished typing your message, an alert with the options "Leave this page" and "Stay on this page" will pop up.

Example with form, you'are looking for window.onbeforeunload:

<script type="text/javascript">
var originalFormContent
var checkForChanges = true;

jQuery(document).ready(function () {
    originalFormContent = jQuery('#myForm input[type=text]').serialize() +      jQuery('#myForm select').serialize();
});

function onClose() {

    if (checkForChanges && originalFormContent != "undefined") {
        var content = jQuery('#myForm input[type=text]').serialize() + jQuery('#myForm select').serialize();
        if (content != originalFormContent) {

            return confirm('You have unsaved changes.  Click OK if you wish to continue ,click Cancel to return to your form.');
        }
    }

}

window.onbeforeunload = onClose();