There are solutions here that will work, but I don't see anyone explaining what is actually happening here, so even though this is 2 years old I'll explain it.
There is nothing "wrong" with the onclientclick javascript you are adding. The problem is that asp.net is adding it's on onclick stuff to run AFTER whatever code you put in there runs.
So for example this ASPX:
is turned into this HTML when rendered:
If you look closely, the __doPostBack stuff will never be reached, because the "confirm" will always return true/false before __doPostBack is reached.
This is why you need to have the confirm only return false and not return when the value is true. Technically, it doesn't matter if it returns true or false, any return in this instance would have the effect of preventing the __doPostBack from being called, but for convention I would leave it so that it returns false when false and does nothing for true.