if you want to use a custom box you could do it like that:
test link: http://jsfiddle.net/myDry/
function blockmeornot(extlink) {
var oherf = $(extlink).attr('href')
var msgboxID = 'areyousure'
var msgbox = '<div id="' + msgboxID +'"><div><p> put your message here </p><a class="yes" href="' + oherf + '"> yes </a> <a class="no" href="#"> no </a></div></div>'
$('body').append(msgbox)
$('#' + msgboxID + ' a.no').live('click', function(){ $('#' + msgboxID).fadeOut(400, function(){$(this).remove()}) })
}
$('a.external').click(function(){ blockmeornot(this); return false })