How can I ask for confirmation before opening an anchor?

For that you have to use JavaScript as the folowing native e.g.

Code:

<a href="#" onclick="if (confirm('Wollen Sie diese Domain wirklich löschen?')) { location.href = 'your_link'; } return false;">
My Link
</a>

Your e.g. should work like that (untested, because i never use a helper like that).

PHP Code:

<?php echo anchor("main/confirmSent/$r->Submitted", 'Mark Sent', array(
    'class' => 'button icon approve',
    'onclick' => "if (confirm('Wollen Sie diese Domain wirklich löschen?')) { location.href = 'your_link'; } return false;"
)); ?>