You can make use of bootstrap modal dialog box, like this:
<div class="modal fade" id="myModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel">
  <div class="modal-dialog" role="document">
    <div class="modal-content">
      <div class="modal-header">
        <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button>
    <h4
 class="modal-title" id="myModalLabel">Delete Confirmation</h4>
      </div>
      <div class="modal-body">
        Are you sure about closing Ellen's lightbox..
        <%= link_to "Yes", light_path(id: light), method: :delete %>/
        <%= link_to "No", "javascript:void(0)",'data-dismiss': "modal" %>
      </div>
    </div>
  </div>
</div>
And change your initial link to:
<%= link_to "close #{user.name}'s light", "javascript:void(0)", 'data-target': "#myModal", 'data-toggle': "modal" %>
I hope this might be helpful to you.