After clicking Exit Button, open window confirming cancel

I've been asked to add a "Cancel" button function that when a user clicks "Cancel", the asp.net page stays open, a separate window opens asking them to confirm they want to Cancel, and then if they click yes to cancel, closes both windows, or if they click no to cancel, just closes the cancel confirmation window. 

Have you ever tried anything like this?  Any pointers or samples?
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