Inspired by the Disable Safari 3 warnings about unsubmitted forms hint, I did my own digging, and found how to turn off the warnings about closing a window with multiple tabs. Just quit Safari>, go to Terminal, and type this:
defaults write com.apple.Safari ConfirmClosingMultiplePages 0
To revert, simply replace 0 with 1.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20070808112409179