see i have solution for u.
just try this.
Design your grid mentioned as below
<asp:templatefield showheader="False" xmlns:asp="#unknown">
<asp:linkbutton id="lnkBtn" commandname="Delete" text="Delete" onclientclick="return ConfirmDelete();">
Add this java script into your aspx form
var Delet_Confirm= confirm("Do you really want to delete this record ?");
if (Delet_Confirm== true)
if you are not using template field, you can write same java script into