The following gives me an error of \"The server tag is not well formed\"
Add the code dynamically in the ItemDataBound event for the ListView control.
In your page_Load event add the following
lst.ItemDataBound += new EventHandler(lst_ItemDataBound);
Then in your ItemDataBound event handler add
Control DeleteButton = e.Item.FindControl("DeleteButton");
DeleteButton.OnClientClick = string.Format( "return confirm('Are you sure you want to delete '{0}'?", Username);
This solution should work whether you use OnClientClick or Sachin Gaur's solution.