You can use javascript for confirmation. Just convert your delete button to a template fieldin the grid. Replace your data grid code with

Code:
<asp:DataGrid id="DataGrid1" OnItemCommand="ItemCommand"
style="Z-INDEX: 101; LEFT: 175px; TOP: 105px"
runat="server" CssClass="tx-tbl-Gr-lml" Width="474px" AllowPaging="true" >
<Columns>
<asp:ButtonColumn Text="Edit" ButtonType="PushButton" CommandName="Edit">
</asp:ButtonColumn>
        <asp:TemplateColumn>
            <ItemTemplate>
                <asp:LinkButton ID="LinkButton1" runat="server" OnClientClick="return confirmdelete();" CausesValidation="false" CommandName="Delete" Text="Delete"></asp:LinkButton>
            </ItemTemplate>
        </asp:TemplateColumn>
</Columns>
</asp:DataGrid>
and put this javascript function in the head element of your page after the title.

Code:
    <script language="javascript" type="text/javascript">
    function confirmdelete()
    { 
      var ok = confirm("Should I delete");
      return ok;
    }
    </script>
Now if you click on the delete button you will be asked for confirmation. And the page will post back only if you click on the ok button.

Warm Regards,