Google Sites will not allow you to provide any javascript in your pages whatsoever, so pasting our standard button codes into a Google Sites page will result in removal of the javascript bits required to display our nice overlay-style standard cart. Because of this, our cart will operate in "fallback mode" using a popup window/tab. Ideally in this case, you should just use the non-javascript version of our button codes (uncheck the box indicated on our button codes screen to convert the code to our non-JS version).
Now, Internet Explorer has a quirky standard behavior where, if a window is being closed by something in the page, such as our cart's Continue Shopping button (rather than using a standard Windows close control such as the X button), IE will show that confirmation dialog you'd described, asking the user if they really meant to close the window. Insofar as we've been able to determine, there is no workaround to prevent or override that behavior in IE.
You could remove the target="ej_ejc" from your cart buttons, which would make the cart buttons behave like a regular link, taking the buyer from your page to the cart in the same window; in this case, the button to return would say Go Back (rather than Continue Shopping), although it does take the buyer "away" from your page, rather than leaving your site open in its own window.
