You can handle this by subclassing your grid and overriding either PreProcessMessage or ProcessDialogKey. The code below assumes your datasource is a dataview. If it is not, you could just remove that check

[C#]

public class CustomDataGrid : DataGrid
{
  private const int WM_KEYDOWN = 0x100;

  public override bool PreProcessMessage( ref Message msg )
  {
    Keys keyCode = (Keys) (int) msg.WParam & Keys.KeyCode;
    if ( msg.Msg == WM_KEYDOWN
      && keyCode == Keys.Delete
      && ( (DataView) DataSource ).AllowDelete )
    {
      if ( MessageBox.Show( "Delete this row?", "Confirm delete",
          MessageBoxButtons.YesNo ) == DialogResult.No )
        return true;
    }
    return base.PreProcessMessage( ref msg );
  }
}

[Visual Basic]

Public Class CustomDataGrid
  Inherits DataGrid

  Private Const WM_KEYDOWN = &H100

  Public Overrides Function PreProcessMessage(ByRef msg As Message) As Boolean
    Dim keyCode As Keys = CType((msg.WParam.ToInt32 And Keys.KeyCode), Keys)
    If msg.Msg = WM_KEYDOWN And keyCode = Keys.Delete Then
      If MessageBox.Show("Delete this row?", "Confirm delete", _
          MessageBoxButtons.YesNo) = DialogResult.No Then
        Return True
      End If
    End If
    Return MyBase.PreProcessMessage(msg)
  End Function
End Class

George Shepherd, Syncfusion, and Erik Johansen