Place this code in the page_load Event…

 cmdDone.Attributes("OnClick") = "return confirm('Are You Sure');"

   Or in a DataGrid’s ItemDataBound Event…

Dim B As Button

  If e.Item.ItemType = ListItemType.Item Or e.Item.ItemType = ListItemType.AlternatingItem Then

B = CType(e.Item.FindControl("cmdDelete"), Button)

     B.Attributes.Add("onclick", "return confirm('Are you sure you want to delete this record?');")

  End If