The exit popup displays a message when a person tries to leave the page. When a person leaves the page, a popup appears asking them if they are sure they want to leave the page. Beneath the popup, the current page disappears and the page specified as the exit popup url is shown, and has the message defined as the exit popup message at the top of the page.
The exit popup is turned on/off when editing the page. This means that each page can have it's own exit popup. To setup an exit popup go to edit the page. When editing the page there is an option "Exit Popup". Change it to "Yes". 2 boxes will appear where you will put the exit popup url and the exit popup message. Fill in these values and then save the page.