Return confirm from Datagrid Delete button

[indydavid32]

I have a datagrid with a delete button. The delete part works, what I want is a confirm button that says are you sure with an ok or cancel button.

Anyone have an ideas on this. I tried to put an onclick even in this line

<asp:ButtonColumn Text="Delete" CommandName="Delete"></asp:ButtonColumn>

This did not work.

Thanks