I don't think the mechanism for that is easily obtained within Odoo. Dialog boxes have been requested in the past, but no real ones have been offered/built ever since (at least, as far as I know).

What you could do is check the working of the dialog box for module installation and/or the "delete" button. This is bound to be javascript, but if you are familiar with that, you should be able to create your own. Once that is done, override the code in the base model class and add your dialog box.