You may have noticed that whenever you have many tabs open in Internet Explorer and you go on to Close All Tabs, Internet Explorer displays a prompt window asking you Do you want to close all tabs or the current tab, with options to Close all tabs and Close current tab.

You are also offered the option to Always close all tabs. Most of the times we usually want to close all tabs and are irritated by this interference. Many therefore chose to select the Always close all tabs check box.
But what if you change your mind in future and want the prompt to display? If you want this confirmation box to start displaying again, you will have to open Internet Options. Click on the Tabs button next.

Now, select the Warn me when closing multiple tabs check-box.

Click OK/Apply and restart your Internet Explorer.
Should work!
via:thewindowsclub