mind you, i've only recently started learning construct 2 so i might not be 100% correct or efficient. there should be multiple ways of doing this.
1. create a new layout
2. if you don't have an exit button on the layout of the game, add one
3. in events, set the exit button when clicked, set to the new layout that you just created and also add an event that sets the time scale to 0 (this basically means that the game is paused)
4. on that new layout, put your "are you sure you want to leave" message there
5. create 2 buttons on the layout, one for leaving the game and one for resuming the game
6. for the events, you want to set the 'leave button' when clicked, set to the layout where you want the player to go to
7. set the 'resume button' when clicked, set to the layout where the game is and add an event that sets the time scale to 1 (this event resumes the paused game)
sorry for my really bad instructions :S hope it helps