Using the sample code from the following article.
https://www.aspsnippets.com/Articles/Paging-in-ASPNet-GridView-Example.aspx
You need to do 2 changes
1. Add PagerStyle-CssClass.
2. Add the following jQuery Script.
<asp:GridView ID="GridView1" runat="server" AutoGenerateColumns="false" AllowPaging="true"
OnPageIndexChanging="OnPageIndexChanging" PageSize="10" PagerStyle-CssClass = "Pager">
<Columns>
<asp:BoundField ItemStyle-Width="150px" DataField="CustomerID" HeaderText="Customer ID" />
<asp:BoundField ItemStyle-Width="150px" DataField="ContactName" HeaderText="Contact Name" />
<asp:BoundField ItemStyle-Width="150px" DataField="City" HeaderText="City" />
<asp:BoundField ItemStyle-Width="150px" DataField="Country" HeaderText="Country" />
</Columns>
</asp:GridView>
<script type="text/javascript" src="https://ajax.googleapis.com/ajax/libs/jquery/1.8.3/jquery.min.js"></script>
<script type="text/javascript">
$("body").on("click", ".Pager a", function () {
return confirm("Do you want to Proceed?");
});
</script>
Screenshot
