You can do it like this:

$(function() {
    $(window).bind('beforeunload', function() {
        setTimeout(function() {
            setTimeout(function() {
                $(document.body).css('background-color', 'red');
            }, 1000);
        },1);
        return 'are you sure';
    });
}); 

The code within the first setTimeout method has a delay of 1ms. This is just to add the function into the UI queue. Since setTimeout runs asynchronously the Javascript interpreter will continue by directly calling the return statement, which in turn triggers the browsers modal dialog. This will block the UI queue and the code from the first setTimeout is not executed, until the modal is closed. If the user pressed cancel, it will trigger another setTimeout which fires in about one second. If the user confirmed with ok, the user will redirect and the second setTimeout is never fired.

example: http://www.jsfiddle.net/NdyGJ/2/

I know this question is old now, but in case anyone is still having issues with this, I have found a solution that seems to work for me,

Basically the unload event is fired after the beforeunload event. We can use this to cancel a timeout created in the beforeunload event, modifying jAndy's answer:

$(function() {
    var beforeUnloadTimeout = 0 ;
    $(window).bind('beforeunload', function()  {
        console.log('beforeunload');
        beforeUnloadTimeout = setTimeout(function() {
            console.log('settimeout function');
            $(document.body).css('background-color', 'red');
        },500);
        return 'are you sure';
    });
    $(window).bind('unload', function() {
        console.log('unload');
        if(typeof beforeUnloadTimeout !=='undefined' && beforeUnloadTimeout != 0)
            clearTimeout(beforeUnloadTimeout);
    });
}); 

EDIT: jsfiddle here

Not possible. Maybe someone will prove me wrong... What code do you want to run? Do you want to auto-save when they click cancel? That sounds counter-intuitive. If you don't already auto-save, I think it makes little sense to auto-save when they hit "Cancel". Maybe you could highlight the save button in your onbeforeunload handler so the user sees what they need to do before navigating away.