event of the datagrid (or
In this event, while the data is binded row by row - add something like:
LinkButton l = (LinkButton)e.Row.FindControl("LinkButton1");
"confirm('Are you sure you want to delete this record')");
if the link button in ItemTemplate of datagrid has OnclientClick event exposed (which is present in ASP.NET2.0 onwards), you can add something like:
OnClientClick = 'return confirm("Are you sure you want to delete this entry?");'