private EventHandler delegateDelete;
...

private void Form1_Load(object sender, EventArgs e)
        {
...
            SetNewClickForDelete();            
        }
...
void bindingNavigatorDeleteItemMyClick(object sender, EventArgs e)
        {
            if (MessageBox.Show("Вы уверены, что хотите удалить?", "", MessageBoxButtons.YesNo  , MessageBoxIcon.Question) == DialogResult.Yes)
            {
                if (delegateDelete != null)
                       delegateDelete(sender, e);
            }
        }
...
private void SetNewClickForDelete()
        {
            object sender = bindingNavigatorDeleteItem;

            FieldInfo fieldEventClick = typeof(ToolStripItem).GetField("EventClick", BindingFlags.NonPublic | BindingFlags.Static);
            object fieldEventClickValue = fieldEventClick.GetValue(sender);
            EventHandlerList handlerList = (EventHandlerList)sender.GetType().GetProperty("Events", BindingFlags.Instance | BindingFlags.NonPublic).GetValue(sender, new object[] { });
            Delegate delegates = handlerList[fieldEventClickValue];
           
            if (delegates != null)
            {
                foreach (Delegate targetDelegate in delegates.GetInvocationList())
                {
                    delegateDelete += (EventHandler) targetDelegate;
                    handlerList.RemoveHandler(fieldEventClickValue, targetDelegate);
                }
            }

            bindingNavigatorDeleteItem.Click += new EventHandler(bindingNavigatorDeleteItemMyClick);
}