It is only possible for ie to-date, it might be changed one day too, who knows. In the onclick handling, set the opener to something like null/self, for instance.
[tt] onclick="window.opener=null;window.close();"[/tt]
Moz-series would still block the close of the main page or any page for that matter which is not opened by some script.
As you've mentioned about the message, I guess the hack for ie would suit your audience.