You need to bind the javascript to the DELETE buttons on the grid at runtime.  
Something like this would work .

Sub dataGRID_ItemDataBound(ByVal sender As Object, ByVal e As DataGridItemEventArgs)
   'Grab the ItemType information
   Dim lit As ListItemType = e.Item.ItemType
   If lit <> ListItemType.Header And lit <> ListItemType.Footer Then
    Try
      Dim deleteButton As Button = CType(e.Item.Cells(0).FindControl("deleteButton"), Button)
      deleteButton.Attributes("onclick") = " return confirm('Are you sure you want to delete entry ?')"
    Catch ex As Exception
    End Try
 End If
End Sub