<SettingsBehavior ConfirmDelete="true"    />
    <SettingsText  ConfirmDelete="Are you sure to DELETE?" />
                <ClientSideEvents EndCallback="function(s, e) {
    if (s.cpMessage) { //check
        alert(s.cpMessage); //alert
        delete s.cpMessage; //delete
    }
}"/>                  
                </dx:ASPxGridView>