Hi Gaurav,
If you created method ON_NEW_FOCUS manually (I mean: you didn't copy an existing method from one of SAP's standard classes) you probably forgot to declare it as event handler.
So to be sure that your method was correctly created, I'd suggest to delete it (save your coding beforehand of course), then copy one existing method from SAP, and paste back your coding. Or you could also check point 3 of this wiki page where you'll see a screenshot with the event handler declaration: http://wiki.sdn.sap.com/wiki/display/CRM/How-to+implement+dataloss+popup
(in your case the class/event is different, but that's where you'll have to take a look).
Regards,
Nicolas.