Is there a builtin confirmation dialog in Windows Forms?

Here is an example. You can try something like this.

var confirmResult =  MessageBox.Show("Are you sure to delete this item ??",
                                     "Confirm Delete!!",
                                     MessageBoxButtons.YesNo);
if (confirmResult == DialogResult.Yes)
{
    // If 'Yes', do something here.
}
else
{
    // If 'No', do something here.
}

You can also try MessageBoxButtons.OKCancel instead of MessageBoxButtons.YesNo. It depends on your requirements.

2. If you have .Net Framework 4.6 or above please try this.

MessageBoxResult confirmResult = MessageBox.Show("Are you sure to delete this item ??", "Confirm Delete!!", MessageBoxButton.YesNo);`

if (confirmResult == MessageBoxResult.Yes)
{
   // If 'Yes', do something here.
}
else
{
   // If 'No', do something here.
}