<script type="text/javascript">

      //Trigger Server side post back for the Tab container
      function ActiveTabChanged(sender, e) {
          __doPostBack('<%= tcBaseline.ClientID %>', '');
      }

      //Sets the dirty flag if the page is dirty
      function setDirty() {
          var hf = document.getElementById("<%=hfIsDirty.ClientID%>");
          if (hf != null)
              hf.value = 1;
      }

      //Resets the dirty flag after save
      function clearDirty() {
          var hf = document.getElementById("<%=hfIsDirty.ClientID%>");
          hf.value = 0;
      }

      function showMessage() { return "page is dirty" }

      function setControlChange() {
          if (typeof (event.srcElement) != 'undefined')
          { event.srcElement.onchange = setDirty; }
      }

      function checkDirty() {
          var tc = document.getElementById("<%=tcBaseline.ClientID%>");
          var hf = document.getElementById("<%=hfIsDirty.ClientID%>");
          if (hf.value == "1") {
              var conf = confirm("Do you want o loose unsaved changes? Please Cancel to stay on page or OK to continue ");
              if (conf) {
                  clearDirty();
                  return true;
              }
              else {
                  var e = window.event;
                  e.cancelBubble = true;
                  if (e.stopPropagation) e.stopPropagation();
                  return false;
              }
          }
          else
              return true;
      }

      document.body.onclick = setControlChange;
      document.body.onkeyup = setControlChange;

      var onBeforeUnloadFired = false;

      // Function to reset the above flag.
      function resetOnBeforeUnloadFired() {
          onBeforeUnloadFired = false;
      }

      function doBeforeUnload() {

          var hf = document.getElementById("<%=hfIsDirty.ClientID%>");

          // If this function has not been run before...
          if (!onBeforeUnloadFired) {

              // Prevent this function from being run twice in succession.
              onBeforeUnloadFired = true;

              // If the form is dirty...
              if (hf.value == "1") {

                  event.returnValue = "If you continue you will lose any changes that you have made to this record.";
              }
          }
          window.setTimeout("resetOnBeforeUnloadFired()", 1000);
      }

      if (window.body) {
          window.body.onbeforeunload = doBeforeUnload;
      }
      else
          window.onbeforeunload = doBeforeUnload;

  </script>

Step 3:

Here is how the tabcontrol should look like

<asp:UpdatePanel ID="upTab" runat="server" UpdateMode="conditional">
                    <ContentTemplate>
                        <ajaxtoolkit:TabContainer ID="tcBaseline" runat="server" Height="400px" OnClientActiveTabChanged="ActiveTabChanged">
                            <ajaxtoolkit:TabPanel ID="tpPersonalInformation" runat="server">
                                <HeaderTemplate>
                                    <asp:Label ID="lblPITab" runat="server" Text="<%$ Resources:Resources, Baseline_Tab_PersonalInformation %>"
                                        onclick="checkDirty();"></asp:Label>
                                </HeaderTemplate>
                                <ContentTemplate>
                                    <asp:PlaceHolder ID="PlaceHolder1" runat="server"></asp:PlaceHolder>
</ContentTemplate>
                            </ajaxtoolkit:TabPanel>