The warning will not happen if the window is a pop up or is launched from the main window via _blank target in the A HREF tag in HTML (or launched _blank from flash as well).
As Jubba said, when closing the main browser window through a link, that message will appear. Microsoft calls this a “Security Issue” (bull), and they removed the workaround solution in their recent browsers.
Well because it looks to me you are calling a javascript pop up window. If that is the case, there is no need for _blank as it will open a new window anyway.
And notice, if you click on your link about and then click the exit in there, there is no message. But if you open a new browser window and go to that link, you get the message.
This is because this forum opens it up in a new window and therefore it works fine.
There is no way around this unless you open the window in a new window or pop up.
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