You can do something like this:

<asp:GridView OnRowDataBound="gvCourses_RowDataBound"...

protected void gvCourses_RowDataBound(object sender, GridViewRowEventArgs e)
{
    if (e.Row.RowType == DataControlRowType.DataRow)
    {
      ((Button)e.Row.Cells[0].FindControl("btnDelete")).Attributes.Add("onClick", " return confirm('Message Here!');");
    }
}

May be easier/better ways, but this is how I have done it in the past.
 

Best Regards,

Robert J Collins | Co-Founder & President

Netlogic Corporation

No problem, glad to help.

Best Regards,

Robert J Collins | Co-Founder & President

Netlogic Corporation