'Confirm' dialog box conflicting with validation.

This is an ASP.NET 3.5 application with RequiredFieldValidator validation controls on several textboxes.  The Save button at the bottom triggers the validation as expected.  However, one requirement is that the button pop up a confirmation box before the submission.  This javascript confirmation box seems to bypass the validation.  Here's the button:
<asp:Button ID="btnSave" runat="server" OnClick="btnSave_Click" OnClientClick="return confirm('You are about to save this request. Proceed?');" Text="Save" /> Remove the OnClientClick and the button triggers validation like it should.  Add in the OnClientClick and the Confirm message box appears.  Click the Ok button on the dialog box and the form is submitted without perform ...