I've attached a JS program to this thread.
What it should do is, once click on a link with the paticular class, the browser should alert you that you are leaving the site.
I've declared in the program the code needed to work in IE.
I have tested it in various browsers and it works, but I can't seem to find the problem why its not working in IE. When the browser loads the html file it does say that the active content is blocked, but you can click a popup window to allow the active content - which I did.