well it wont different much actualy

, here's how to do it
first you need a JS function and you can place it anywhere, Body or Head
function confirmDelete() {
return window.confirm("are you sure?");
}
in Page_Load function:
Button1.Attributes.Add("OnClick", "return confirmDelete()")
if its in DataGrid Item Template
Dim i As Integer
For i = 0 To DataGrid1.Items.Count - 1
Dim Btn as Button = DataGrid1.Item(i).FindControl("Button1")
Btn.Attributes.Add("OnClick", "return confirmDelete()")
Next
Hope it works