<Tools> - > <Internet Options>
In the "Tabs" section on the "General" tab -> <Settings>
Place a check in "Enable Tabbed Browsing" (if not already checked)
Place a check in "Warn me when closing multiple tabs"
"OK" your way out. And from now on pay close attention to all dialog boxes as some of them have "do not show me this again" checked by default.
Thanks! To both of you for responding!