You do have the option to do everything requested via server side code.
Set your markup as something similar:
<asp:DropDownList
    AutoPostBack="true"
    OnSelectedIndexChanged="ConfirmDelete_SelectedIndexChanged"
    runat="server" />
<asp:LinkButton
    ID="btnNotInUse"
    runat="server" />
<asp:Panel
    ID="pnlPopup"
    style="display:none;"
    runat="server">
    This is your confirmation dialog.<br />
    <asp:Button ID="btnDelete" runat="server" />
</asp:Panel>
<ajaxToolkit:ModalPopupExtender
    ID="mpeModal"
    TargetControlID="btnNotInUse"
    PopupControlID="pnlPopup"
    runat="server" />
Now, when your DropDownList changes, you'll fire the server event "ConfirmDelete_SelectedIndexChanged", which looks like the following:
protected void ConfirmDelete_SelectedIndexChanged(object sender, EventArgs e)
{
    if(/*some logic that states if "delete" is selected*/)
     mpeModal.Show();
}
In effect, when you change a selection in the drop down, the server checks to see if "Delete" was selected. If so, your modal popup is now shown with an a button that actually can delete from your datasource or do whatever you need to accomplish.