I would suggest using RadAlert predefined window for this scenario. You could open the alert window and in the closed event handler you could execute the custom logic that depends on the DialogResults:
"You will loose changes you made if you continue. Please press Ok to continue and press cancel to stay on the same page"
sender, WindowClosedEventArgs e)
(e.DialogResult.HasValue && e.DialogResult.Value)
// Ok is pressed
// The alert window is canceled or closed.
You could refer to our online documentation for additional information here - http://www.telerik.com/help/wpf/radwindow-features-predefined-dialogs.html
Hope this helps.
All the best,
the Telerik team