You can also use the ConfirmButtonExtender if you're using the Ajax Control Toolkit
If you're using jQuery (which I'd totally recommend) you should check out jQuery UI and the modal confirmation demo which is very slick.
It should be noted that the above confirmations are purely client-side, so if you need to support clients that have javascript turned off, you will need to handle all of this server-side as well. e.g. the javascript, when OK is clicked, could set a hidden form field that says the equivalent of 'user confirmed' so if you get the delete button pressed without the hidden form field being filled you can determine that you need to show a server-generated confirmation field.