Hi Balan,
Welcome to WebProWorld! Your first post, I see! ;o)
What you're asking for sounds pretty familiar... isn't this the same as producing a new window when someone leaves your site? They would click to close the "site" window, and a further window would be produced (I hate this technique, by the way!).
Useful looking resource:
Exit Pop-up Scripts
Previous discussion on WebProWorld:
WANTED: javascript recommendation for an exit page
I would imagine that popup blockers should be able to block these.. although I've not tested it myself, as it's not a method I would use personally.
Paul