Ok, I created a subclass of the original DataGrid control and I added the following code ...

    Protected Overrides Function ProcessCmdKey(ByRef Msg As Message, ByVal KeyData As Keys) As Boolean
        '************************************************************************
        ' Procedure/Function: ProcessCmdKey()
        ' Author: Ben Santiago
        ' Created On: 08/14/2006
        ' Description:
        '       Capture and process "special" keys.
        '************************************************************************

        '***************************************
        ' Define Constants
        '***************************************
        Const WM_KEYDOWN As Integer = &H100
        Const WM_SYSKEYDOWN As Integer = &H104

        '***************************************
        ' Initialize Variables
        '***************************************
        Dim intAnswer As MsgBoxResult

        '***************************************
        ' Process Key Pressed
        '***************************************
        If ((Msg.Msg = WM_KEYDOWN) Or (Msg.Msg = WM_SYSKEYDOWN)) Then
            Select Case (KeyData)
                Case Keys.Delete
                    '***************************************
                    ' Query User To Confirm Row Delete
                    '***************************************
                    If Me.IsSelected(Me.CurrentRowIndex) Then
                        intAnswer = MessageBox.Show("Are you sure you want to delete the selected record?", "Confirm Delete", MessageBoxButtons.YesNo, MessageBoxIcon.Question)
                        If intAnswer = MsgBoxResult.Yes Then
                            '***************************************
                            ' Send Keys To Base Function For Processing
                            '***************************************
                            Return MyBase.ProcessCmdKey(Msg, KeyData)
                        End If
                    End If
            End Select
        End If
    End Function

Now, I am able to capture the Delete Key appropriately, which is great, but the problem is that the row is still removed from the grid. How do I stop the grid from removing the row?