Alert Pop-Up on exiting, What do I add? Options

[TmeWrpAgn]

What do I add to this code to make the pop-up alert appear on exit like this site?

<!-- begin code provided by createblog.com --><br /><!-- begin code provided by createblog.com --><br /><script language="JavaScript"><br />alert("You Little Prying Pandora!")</SCRIPT><br /><!-- end code provided by createblog.com --><br /><!-- end code provided by createblog.com -->

--Thanks