You have to do it in grid's ItemCreated event. I've made it for my dgPhotoGrid:
Private Sub dgPhoto_ItemCreated(ByVal sender As Object, ByVal e As System.Web.UI.WebControls.DataGridItemEventArgs) Handles dgPhoto.ItemCreated
If e.Item.ItemType = ListItemType.Item OrElse e.Item.ItemType = ListItemType.AlternatingItem Then
Dim _butDelete As Button = CType(e.Item.Cells(3).Controls(1), Button)
_butDelete.Attributes.Add("onClick", "return(confirm('Are you sure to delete this photo?'));")
End If
End Sub