public static class GridCommands
{
  public static readonly  RoutedUICommand Delete = 
    new RoutedUICommand(
      "Удалить строку",
      "DeleteRow",
      typeof (GridCommands),
      new InputGestureCollection(new[] {new KeyGesture(Key.Delete)})
    );
}

public class DeleteBinding : CommandBinding
{
  public DeleteBinding()
  {
    Command = GridCommands.Delete;
    CanExecute += DeleteBindingCanExecute;
    Executed += DeleteBindingExecuted;
  }

  static void DeleteBindingExecuted(object sender, ExecutedRoutedEventArgs e)
  {
    if (MessageBox.Show("Delete this?", "Delete this?", MessageBoxButton.YesNo, MessageBoxImage.Question) != MessageBoxResult.Yes)
      return;
    ApplicationCommands.Delete.Execute(e.Parameter, (IInputElement)sender);
  }

  static void DeleteBindingCanExecute(object sender, CanExecuteRoutedEventArgs e)
  {
    e.CanExecute = ApplicationCommands.Delete.CanExecute(e.Parameter, (IInputElement)sender);
  }
}

<Grid>
  <Grid.RowDefinitions>
    <RowDefinition />
    <RowDefinition />
  </Grid.RowDefinitions>
  <DataGrid
    Name="ItemsGrid"
    ItemsSource="{Binding Items}">
    <DataGrid.Columns>
      <DataGridTextColumn
        Binding="{Binding}"
        Header="N"
        Width="*"
        IsReadOnly="True"/>
    </DataGrid.Columns>
    <DataGrid.CommandBindings>
      <l:DeleteBinding />
    </DataGrid.CommandBindings>
  </DataGrid>
  <Button
    Grid.Row="1"
    Padding="5"
    VerticalAlignment="Center"
    HorizontalAlignment="Center"
    Content="Delete Row"
    Command="{x:Static l:GridCommands.Delete}"
    CommandTarget="{Binding ElementName=ItemsGrid}" />
</Grid>