A simple googling you have given you the answer.
You can use Javascript for this .
<script type="text/javascript" language="javascript">
function ConfirmOnDelete()
{
if (confirm("Are you sure?")==true)
return true;
else
return false;
}
</script>
Then you can call that JS function like this:
<asp:button id="Button1" runat="server" text="Button" onclick="Button1_Click" onclientclick="return ConfirmOnDelete();" xmlns:asp="#unknown">
Or adding an attributes to the Button at code behind Page_Load event like:
Button1.Attributes.Add("onclick","return ConfirmOnDelete()");
Hope this helped you :)