In an attempt to solve a similar situation I've come across this example and adapted it. It uses JQUERY UI Dialog as Nikhil D suggested. Here is a look at the code:

HTML:

<link href="http://ajax.googleapis.com/ajax/libs/jqueryui/1.8.6/themes/smoothness/jquery-ui.css" rel="stylesheet"/>
<input type="button" id="box" value="Confirm the thing?" />
<div id="dialog-confirm"></div>

JavaScript:

$('#box').click(function buttonAction() {
  $("#dialog-confirm").html("Do you want to do the thing?");

  // Define the Dialog and its properties.
  $("#dialog-confirm").dialog({
    resizable: false,
    modal: true,
    title: "Do the thing?",
    height: 250,
    width: 400,
    buttons: {
      "Yes": function() {
        $(this).dialog('close');
        alert("Yes, do the thing");
      },
      "No": function() {
        $(this).dialog('close');
        alert("Nope, don't do the thing");
      }
    }
  });
});

$('#box').click(buttonAction);

I have a few more tweaks I need to do to make this example work for my application. Will update this if I see it fit into the answer. Hope this helps someone.