confirmation from user from a delete button in the DataGrid

Question

One of the columns of the datagrid is a TemplateColumn containing a Delete button.
i'm deleting a row on the click of the Delete Button.
How do i put in a confirmation - "Are you sure ..."
for the user before, the row gets deleted. Since the delete code is a part of the following event -

private void grdPayments_DeleteCommand(object source, System.Web.UI.WebControls.DataGridCommandEventArgs e)
{
}
thus cannot even attach an "onClick" attribute to it, had it been a normal button.
please advise.