The idea is to create a pop up window whenever some tries exiting in the middle of the checkout. This popup should be sales oriented and should make an attempt to keep the customer at your store.
I have included a sample popup HTML file, but it is up to you to customize this file to use with your site. I recommend using the same idea in offering a discount, providing a button to take the user back to your site, and asking them for feedback.
Have you noticed that your customer list grows, but you are not getting orders from all your customers? The reason is because people sign-up then leave... well that's why you need this module, so you can turn those customers into patrons.