Se usi una datagrid
con <asp:ButtonColumn Text="Elimina" CommandName="Delete"></asp:ButtonColumn>

specifica OnItemCreated="DataGrid_ItemCreated"

che sarà :

Sub DataGrid_ItemCreated(ByVal sender As Object, ByVal e As System.Web.UI.WebControls.DataGridItemEventArgs) Handles MyDataGrid2.ItemCreated

Select Case e.Item.ItemType
Case ListItemType.Item, ListItemType.AlternatingItem, ListItemType.EditItem
Dim myTableCell As TableCell
myTableCell = e.Item.Cells(1)
Dim myDeleteButton As LinkButton
myDeleteButton = myTableCell.Controls(0)
myDeleteButton.Attributes.Add("onclick","return confirm('Confermi eliminazione ?');")

End Select

End Sub