use some javascript like...
function handleChange(opt) {
if (!confirm('are you sure')) {
opt.selectedIndex = opt.oldIndex;
}
else {
__doPostBack('YourDropDown','')
}
}
and set the client side events like so....
this.YourDropDown.Attributes["onChange"] = "handleChange(this)";
this.YourDropDown.Attributes["onFocus"] = "this.oldIndex = this.selectedIndex";