When I actually close Outlook, I get the "are you sure you want to delete
the items in the Deleted Items folder? yes/no". Is there any way I can see
what's about to get deleted before I say "yes" to that?

Say No and then go look at the items in the folder.

How would I see
stuff that was merely changed and not deleted (like when I accidentally type
in a field in Contacts and don't realize it)?

Outlook does not track changes to individual items.

Would changes show up on a
"about to be deleted" list of any kind?

No.

Is there ANY way to write-protect the contacts file at all?

No. Maybe what you need to do is turn off the in-cell editing feature of the view: View | Arrange By | Current View | Customize Current View | Other Settings.
--
Sue Mosher, Outlook MVP