Assuming you want to keep using your CommandField, you could do this programmatically using your GridView's OnRowDataBound event.
Specify the event handler for the RowDataBound event in your GridView declaration:
<asp:GridView ID="gv" runat="server" OnRowDataBound="gv_RowDataBound"....
Then in your event handler (code-behind) find your button (here I'm assuming ImageButton, though this depends on your ButtonType property in your CommandField) and add JavaScript to its OnClientClick property.
protected void gv_RowDataBound(object sender, GridViewRowEventArgs e)
{
if (e.Row.RowType == DataControlRowType.DataRow)
{
((ImageButton)e.Row.Cells[cell].Controls[ctrl]).OnClientClick = "return confirm('Are you sure you want to delete?');"; // add any JS you want here
}
}
In the above example, cell refers to the column index of your CommandField and ctrl refers to the control index (Delete button) within the cell you're referencing.