I have seen such issue many a times. Change the code as below and it should work fine. I will highlight (in bold) the changed part.
function show_confirm()
{
var r = confirm("Press a button");
if (r == true)
{
location.href = "Default.aspx";
return false;
}
else
{
alert("You pressed Cancel!");
return false;
}
}
And you will call the function as follows:
<asp:Button ID="btnExit" Text="Exit" OnClientClick="return show_confirm();" runat="server" />
Hope this helps!