To reproduce the exact same functionality in <ext:Button> as <asp:Button> you would add the confirm script to the Handler of the <Click> Listener.
<ext:Button ID="Button1" Handler="" runat="server" onclick="Button1_Click" Text="Submit">
<Click Handler="return confirm('Are you sure you want to delete this?');" />
You can add the Listener several different ways and I outlined above. The following forum post also discusses the similar OnClientClick topic, see http://forums.ext.net/showthread.php?postid=587.aspx
I think I might add an OnClientClick property to <ext:Button> just to avoid any future inconvenience. Although, under the covers it would still just add a Click Listener.
Hope this helps.