Now I lose websites when the window is inadvertently closed.
If you close a window or quit Safari, when you relaunch Safari go to the menu bar click History > Reopen All Windows From Last Session.
And since you are running Lion you can enable the Lion "resume" feature.
Open System Preferences > General
Select: Restore windows when quitting and re-opening apps
Not sure, I don't see the option either. It may be because now in Lion, if you quit an app, it will "resume" when you open it again.
Regardless, I myself have moved on to Chrome. That browser does give the option to warn before quitting at least. Chrome is basically Safari except it's even leener and more forward-looking.
You may also want to look in to Firefox. I prefer it to Safari too, and that for sure has an option to warn before closing multiple tabs.