Guess I should RTFM.

// needed to save a reference to 
// the user's answer in the confirm box
var del = true;
function UltraWebGrid1_KeyDownHandler(gridName, cellId, key){
	// if user hits delete key set deleting 
	// to false so confirm box is shown
	if(key == 46)
		deleting = false;
	}
	
function UltraWebGrid1_AfterRowDeletedHandler(gridName, rowId){
	// set deleting to true so when deleting 
	// multiple rows confirm is shown only once
	deleting = true;      
	del = true;
}

function UltraWebGrid1_BeforeRowDeletedHandler(gridName, rowId){
	if(!deleting) // used to determine if confirm box has shown yet
	{
		// show the confirm box
		del = confirm("You sure you want to delete row(s)");
		// set deleting to true so confirm is not shown again
		deleting = true
	}
	// returning true cancels the event so return the opposite 
	// of what the user selected in the confirm box
	return !del;
}