Personally I see this as a recurrent requirement in many views of many ASP.Net MVC applications.
That's why I defined a model class and a partial view:
using Resources;
namespace YourNamespace.Models
{
  public class SyConfirmationDialogModel
  {
    public SyConfirmationDialogModel()
    {
      this.DialogId = "dlgconfirm";
      this.DialogTitle = Global.LblTitleConfirm;
      this.UrlAttribute = "href";
      this.ButtonConfirmText = Global.LblButtonConfirm;
      this.ButtonCancelText = Global.LblButtonCancel;
    }
    public string DialogId { get; set; }
    public string DialogTitle { get; set; }
    public string DialogMessage { get; set; }
    public string JQueryClickSelector { get; set; }
    public string UrlAttribute { get; set; }
    public string ButtonConfirmText { get; set; }
    public string ButtonCancelText { get; set; }
  }
}
And my partial view:
@using YourNamespace.Models;
@model SyConfirmationDialogModel
<div id="@Model.DialogId" title="@Model.DialogTitle">
  @Model.DialogMessage
</div>
<script type="text/javascript">
  $(function() {
    $("#@Model.DialogId").dialog({
      autoOpen: false,
      modal: true
    });
    $("@Model.JQueryClickSelector").click(function (e) {
      e.preventDefault();
      var sTargetUrl = $(this).attr("@Model.UrlAttribute");
      $("#@Model.DialogId").dialog({
        buttons: {
          "@Model.ButtonConfirmText": function () {
            window.location.href = sTargetUrl;
          },  
          "@Model.ButtonCancelText": function () {
            $(this).dialog("close");
          }
        }
      });
      $("#@Model.DialogId").dialog("open");
    });
  });
</script>
And then, every time you need it in a view, you just use @Html.Partial (in did it in section scripts so that JQuery is defined):
@Html.Partial("_ConfirmationDialog", new SyConfirmationDialogModel() { DialogMessage = Global.LblConfirmDelete, JQueryClickSelector ="a[class=SyLinkDelete]"})
The trick is to specify the JQueryClickSelector that will match the elements that need a confirmation dialog. In my case, all anchors with the class SyLinkDelete but it could be an identifier, a different class etc. For me it was a list of:
<a title="Delete" class="SyLinkDelete" href="/UserDefinedList/DeleteEntry?Params">
    <img class="SyImageDelete" alt="Delete" src="/Images/DeleteHS.png" border="0">
</a>