Protection of confidential data from being leaked to the public is a growing concern among organisations and individuals. Traditionally, confidentiality of data has been preserved using security procedures such as information security policies along with conventional security mechanisms such as firewalls, virtual private networks and intrusion detection systems. Unfortunately, these mechanisms lack pro-activeness and dedication towards protecting confidential data, and in most cases, they require predefined rules by which protection actions are taken. This can result in serious consequences, as confidential data can appear in different forms in different leaking channels. Therefore, there has been an urge to mitigate these drawbacks using more efficient mechanisms. Recently, data leakage prevention systems (DLPSs) have been introduced as dedicated mechanisms to detect and prevent the leakage of confidential data in use, in transit and at rest. DLPSs use different techniques to analyse the content and the context of confidential data to detect or prevent the leakage. Although DLPSs are increasingly being designed and developed as standalone products by IT security vendors and researchers, the term still ambiguous. In this study, we have carried out a comprehensive survey on the current DLPS mechanisms. We explicitly define DLPS and categorise active research directions in this field. In addition, we suggest future directions towards developing more consistent DLPSs that can overcome some of the weaknesses of the current ones. This survey is an updated reference on DLPSs, that can benefit both academics and professionals.