You can use jQuery to send up a confirm dialog. If the user clicks OK and confirms then you can return true which will allow the link to be followed automatically. If the user clicks cancel you will cancel the event's default (the default for a click event on a link is to go to it) and then the link will not be followed.
HTML:
<a class="confirm" href="http://www.microsoft.com">Link</a>
JavaScript (with jQuery):
$(".confirm").on("click", function(event){
if(confirm("Are you SURE....?")){
return true;
} else {
event.preventDefault();
return false;
}
});