You make a redirect to the application page and show a confirmation box.
This will cause the redirect, which you point to an application page with your confirmation button on it.
You can do this with the client object model with ECMA script also.
The simple way: Only had to do this for item deleting, and I use a java script confirmation box bound to the button, using JQuery.
My research said its not possible, only thing you can do is, redirect to a different page aspx page.