Move the message box to where you need to ask the question e.g.
Code:
Sub DeleteButton()
Dim obj As Object
Dim varResponse As Variant
For Each obj In ActiveDocument.InlineShapes
If obj.OLEFormat.Object.Name = "CommandButton1" Then
varResponse = MsgBox("Button will be deleted.")
If varResponse = vbOK Then obj.Delete
End If
Next
End Sub