Figured it out, I just had to explicitly grab the href value.
jQuery(function ($) {
$('a.confirm').click(function (e) {
e.preventDefault();
href = $(this).attr('href');
msg = 'this is the copy of the confirmation dialog I want to pop up, it goes on and on and on';
// example of calling the confirm function
// you must use a callback function to perform the "yes" action
confirm(msg, function () {
window.location.href = href;
});
});
});