See you can add (OnClientClick="return confirm('Are you sure you want to delete?');") this code in your server-side control
example of server-side control in .aspx file
<asp:LinkButton runat="server" ID="lbDelete" Text="Delete" CssClass="ActionLinkButton" OnClientClick="return confirm('Are you sure you want to delete?');" CommandName="lbDelete"
That will show a confirm dialog, and the Server-Side Click event will be executed only if the user selects Ok.