>Is the column a template column. I think you'll need to convert it to a template column then edit the Item template to get access to the link button properties. There is an OnClientClick property for the link button.
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Do you know what should I use to get the appearance of a link (right now it's a button) and also to fix the problem with not well-formed tag. I don't really want to add a separate script on the page, though I can if it's need to be done this way:

<ItemTemplate>
    <asp:Button ID="Button1" runat="server" Text="Remove User From Role" CommandName="RemUser"

      OnClientClick="return confirm('Are you sure you want to remove ' + 
<%# Eval("UserName") %> + ' from ' + 
document.getElementById('<%= drpSelRole.ClientID %>').value + ' role ?');" />
                </ItemTemplate>