You should do that on clientside with javascript.
Therefore you can handle GridView's RowDataBound event to add this to the Delete-Button's OnClientClick:
protected void gvShowQuestionnaires_RowDataBound(object sender, GridViewRowEventArgs e)
{
if (e.Row.RowType == DataControlRowType.DataRow)
{
LinkButton db = (LinkButton)e.Row.Cells[3].Controls[0];
db.OnClientClick = "return confirm('Are you certain you want to delete this questionnaire?');";
}
}