The web is rapidly changing, and you would need to look beyond the normal Confirm dialogs.
The Ajax Control toolkit of ASP.Net provides the Modal Popup Extender control that gives you exactly what you need. You can find the entire description and its properties http://www.asp.net/ajax/ajaxcontroltoolkit/samples/modalpopup/modalpopup.aspx.
In its simplest form, it would look like:
<ajaxToolkit:ModalPopupExtender runat="server" ID="myMPE"
PopupControlID="myPanelWithButtons" OkControlID="OkayButtonID"
OnOkScript="ScriptToExecute" CancelControlID="CancelButtonID"
/>
And the Panel "myPanelWithButtons" would need to have a markup like:
<asp:Panel ID="myPanelWithButtons" runat="server" >
<br />What is your option?<br />
<asp:Button ID="OkayButtonID" runat="server" Text="OK" />
<asp:Button ID="CancelButtonID" runat="server" Text="Cancel" />
</asp:Panel>
Additionally, you can use CSS and beautify this control to your heart's content. An interesting point that has to be mentioned is the ability that the Modal Popup extender to behave as a Modal dialog which is what we ideally need when receiving mandatory user input.