Return confirm from Datagrid Delete button

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

Code:

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

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This did not work.

Thanks

I tried this...

VB Code:

Private Sub DataGrid1_ItemDataBound(ByVal sender As Object, ByVal e As System.Web.UI.WebControls.DataGridItemEventArgs) Handles DataGrid1.ItemDataBound
        DataGrid1.Controls.Add(New LiteralControl("<SCRIPT FOR=""" & e.Item.Controls(8).ClientID.ToString() & """ EVENT=""onclick"" Language=""JavaScript"">if(!confirm('Are you sure?')){return false; window.event.cancelBubble=true;}</SCRIPT>" & vbCrLf))
    End Sub

No confirm button is popping up when I click the delete button. I believe the column # should be 1, I tried 0 through 8.

Bump