Messagebox popup and read from a SelectedIndexChanged on a DropDownList

I have a dropdownlist binded to a column in a gridview.  If the user selects a certain value "P" (of 3 possible values -> " ", "A" and "P") from the dropdownlist, I want to popup a confirm messagebox asking if they actually want to perform the action (purge the record).  I've seen on posts where you can put something like btnSomething.Attributes.Add("onClick", "javascript:return fnSomething();") in the PageLoad and have javascript addressing the popup, but this doesn't help me with a dropdownlist.  Can someone suggest a good way to do this?  I only want to popup the messagebox if the user selects "P" from the DropDownList.< ...