C ASP .NET(Hyperlink in Gridview)

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C#

C#4.0

Hi,
Can i please know how to use on click event of a hyperlink present in one of Gridview column but i am unable to do it.
I want to throw an warning message on click of the Delete Hyperlink, something like "Are you sure ?

Here is the code below

<asp:GridView ID="gvData"  runat="server" Height="159px" Width="511px"
                    AutoGenerateColumns="False"
                    onselectedindexchanged="gdvData_SelectedIndexChanged">
                    <Columns>
                        <asp:HyperLinkField Text="Delete" HeaderText="Delete" HeaderStyle-BackColor="#4EA600" HeaderStyle-ForeColor="White" />
                        <asp:HyperLinkField Text="Edit" HeaderText="Edit" HeaderStyle-BackColor="#4EA600" HeaderStyle-ForeColor="White"  NavigateUrl="~/Error_Correction.aspx" />
                        <asp:BoundField DataField="SOURCE_ENTITY" HeaderText="Source Entity" HeaderStyle-BackColor="#4EA600" HeaderStyle-ForeColor="White"/>
                        </Columns>
                   </asp:GridView>