Hello,
Basically I need a little page, that when users click an external link it lets them know they are about to leave the site, then when they click continue it carries them on to the link they initially clicked. Any easy way to do this in wordpress?
For an example, click the link below, then click the last green button on the page (under ezcardinfo/Login Here)
https://www.chfcu.org/web/eservices.asp
Thanks ahead of time!
A quick Google search found this - http://wordpress.org/plugins/wordpress-exit-box-lite/
Unfortunately without really knowing the technical name of what you’re after (I know exactly what you want to do, but not sure what to call this!), I cannot find it. I’m very surprised nobody has made a plugin of this, so much so that I’m tempted to make one myself, as I’m sure it’s easy and useful for the wider audience 
I’ve seen it referred to as an “exit page”.
I use this plugin to identify links found on your site as external links with a small icon. This is the same technique used on wikipedia. (Note that this does not generate an exit page)