I would guess that you're going to have to get down and dirty with the
client-side code. You'll need to use a javascript confirm  dialog, so the
onclick event handler of the delete  button would look something like this:

onclick="return checkDelete()"

...and the Javascript function behind it would be fairly simple:

function checkDelete() {
if(confirm("Are you sure you want to delete this item?")) {
return true;
}
else {
return false;
}
}

No sure if I can make that work - you see the "Delete Item" button is really
a Hyperlink - my toolbar is built just like the toolbar is in any
out-of-the-box webpart  using:

////----- toolbar
------------------------------------------------------
tlb =
(ToolBar)Page.LoadControl("/_controltemplates/ToolBar.ascx");
tlb.ID = "NavNodesTB";
// create the buttons template for the toolbar
BtnTemplate btnTemplate = new BtnTemplate();
btnTemplate.PopulateButtonSet(btnInfo, EventLogname);
// assign the btnTemplate to the toolbar
tlb.Template_Buttons = btnTemplate;
The BtnTemplate class contains the Hyperlink.

There's certainly a way to make it work with a Hyperlink as well; can I
get some more information on the BtnTemplate class? That's where the magic
will need to happen.
Generally it'll be something like

myHyperLink.Attributes.Add("onclick", "return checkDelete()");

...but I'd have to check the client-side rendered markup to be sure of what
it's doing.