When you close/minimize the program or switch to another image, and there are changes you have made to the current image which you haven't saved, you will see the following dialog (unless you have changed the options to always save changes):
You can select the single option for this operation from the list (it will be remembered for next time), or change the behavior for the future by changing the bottom left combo box.
To change the default options to autosave changes see here.