how to show confirmation alert with three buttons 'Yes' 'No' and 'Cancel' as it shows in MS Word

This cannot be done with the native javascript dialog box, but a lot of javascript libraries include more flexible dialogs. You can use something like jQuery UI's dialog box for this.

See also these very similar questions:

Here's an example, as demonstrated in this jsFiddle:

<html><head>
    <script type="text/javascript" src="http://code.jquery.com/jquery-1.7.1.js"></script>
    <script type="text/javascript" src="http://ajax.googleapis.com/ajax/libs/jqueryui/1.8.16/jquery-ui.js"></script>
    <link rel="stylesheet" type="text/css" href="/css/normalize.css">
    <link rel="stylesheet" type="text/css" href="/css/result-light.css">
    <link rel="stylesheet" type="text/css" href="http://ajax.googleapis.com/ajax/libs/jqueryui/1.8.17/themes/base/jquery-ui.css">
</head>
<body>
    <a class="checked" href="http://www.google.com">Click here</a>
    <script type="text/javascript">

        $(function() {
            $('.checked').click(function(e) {
                e.preventDefault();
                var dialog = $('<p>Are you sure?</p>').dialog({
                    buttons: {
                        "Yes": function() {alert('you chose yes');},
                        "No":  function() {alert('you chose no');},
                        "Cancel":  function() {
                            alert('you chose cancel');
                            dialog.dialog('close');
                        }
                    }
                });
            });
        });

    </script>
</body><html>

If you don't want to use a separate JS library to create a custom control for that, you could use two confirm dialogs to do the checks:

if (confirm("Are you sure you want to quit?") ) {
    if (confirm("Save your work before leaving?") ) {
        // code here for save then leave (Yes)
    } else {
        //code here for no save but leave (No)
    }
} else {
    //code here for don't leave (Cancel)
}