If you want to add a client-side prompt to a GridView's delete function, so that the user has a another chance to prevent it, one simple way is to add a template field to the GridView with a LinkButton whose CommandName is set to "Delete" and whose OnClientClick property is set to something like 'return confirm("Are you sure???");'
<asp:GridView ID="GridView1" runat="server" DataKeyNames="id" DataSourceID="SqlDataSource1">
<Columns>
<asp:TemplateField ShowHeader="False">
<ItemTemplate>
<asp:LinkButton ID="LinkButton1" runat="server" CausesValidation="False" CommandName="Delete"
OnClientClick='return confirm("Are you sure you want to delete this entry?");'
Text="Delete" />
</ItemTemplate>
</asp:TemplateField>
</Columns>
</asp:GridView>