There are various ways to do this including javascript actions. There's also this widget in the appstore that might do what you intend it to do:
https://marketplace.mendix.com/link/component/78474
I'm not sure if it works in Mx9 but it might be worth a try.
Perhaps Nanoflow Client activities/Show Confirmation may be your solution. It is basically a Yes-Proceed/No-Cancel prompt that can have the text customized.