This sounded like something almost impossible to do when it was presented to me. I know you can display a dialog box to confirm when leaving a web page. But is it possible t
Take a look at this thread.
One possible way to achieve this would be to use Javascript to examine all of the a tags on your page when it loads and check if they are linking to an external site. If so, you can add an onclick event to show a confirm/alert box or something more elegant. Of course, using jQuery will greatly simplify the Javascript you'll have to write, like in the above thread.