Try This :
add this javascript on Button OnClientClickEvent..
e.g.:
on delete button event:
write the code on delete button event and add this javascript when button is created.
<asp:linkbutton id="btnDelete" text="Delete" runat="server" onclientclick="javascript:if(!confirm('This action will delete the selected Record,Are you sure?')){return false;}" xmlns:asp="#unknown" />
Hope this will help you...
if not, please post it.