Try:
<asp:LinkButton runat="server" ID="myLinkButton" OnClientClick="return confirm('Are you sure you wish to continue?');" Text="Click Here" PostBackUrl="http://www.somesite.com/somelink.html" ></asp:LinkButton>
Or a more advanced route.
Javascript:
<script type="text/javascript">
function doConfirm() {
return confirm('Are you sure you wish to continue?');
}
</script>
ASP:
<asp:LinkButton runat="server" ID="myLinkButton" OnClientClick="return doConfirm();" Text="Click Here" PostBackUrl="http://www.somesite.com/somelink.html" ></asp:LinkButton>