Something like this should work:
<% Html.Grid(Model).Columns(column => {
//other columns...
column.For("Delete").Action(x => { %>
<% using (Html.BeginForm("Delete", "MyController")) { %>
<input type="submit" value="Delete" onclick="return confirm('Are you sure');" />
<% } %>
<% });
}).Render(); %>
For this to work you'll need to ensure you have the MvcContrib.UI.Grid.ActionSyntax namespace imported. Without it the "Action" extension methods will not be available.