Make sure the ConfirmOnFormSubmit is set to TRUE on the ConfirmButtonExtender.
From the example site:
ConfirmOnFormSubmit - True if the confirm dialog should wait until just before the form submits to display. This is useful when ASP.NET validators are in use and the confirm should be shown only after all validators pass.
EDIT: According to that website it is valid. Try updating to the latest version and or ignore the intellisense and just see what happens when you post it.
craigmoliver
2009-01-27 19:13:31