you can add a template field to your grid view and in that add a link button with command argument attribute and set the value to the item ID or KeyName, and then in RowCommand of grid, use this code:
int id = Convert.ToInt32(e.CommandArgument);
its realy base on your data access logic to how to handle the delete event!
for me I use linq to EF and just call the deleteObject method.
for confirmation use onclientclick attribute and use this code:
<asp:LinkButton ID="LinkButton1" OnClientClick="confirm(are you sure to delete this record"
CommandArgument='<%#Eval("id") %>' runat="server">delete</asp:LinkButton>