you can use following code for giving confirmation on delete button
<Columns>
<asp:TemplateField ShowHeader="False">
<ItemTemplate>
<asp:LinkButton ID="LinkButton1" runat="server" CausesValidation="False" CommandName="Delete" Text="Delete" OnClientClick="javascript : return confirm('Do you really want to \n Delete?');">
</asp:LinkButton>
</ItemTemplate>
</asp:TemplateField>
</Columns>