Warning when trying to change page

I’m running a radio website that has a player inside in the home page.

Anyone knows a plugin or a code that opens a pop-up warning to users that try to click on any page inside the website while listening to a music player?
http://www.marilu.it/radio/

I’m trying to warn them that if they change the page the music will stop playing, with two buttons “Yes” and “No”.

I heard about a jQuery code that can do that, but I didn’t find anything similar for now. Since the player is in Flash I can insert it in a DIV to have more control right? Any ideas?

Thank you in advance to all wordpress gurus out there 🙂

Regards,
Daniel