By default JDS file browser "deletes" files to the trash can - a la windoze Recycle bin 8-( -
so it doesn't feel the need to double check as you can always reclaim the file from there.
Emptying the trash includes an "are you sure" which can be configured from the folders settings pane:
Launch->Preferences->Desktop Preferences->Folders and pick the "Behaviour" tab
If you mean you want the double check made in a terminal or console displayed within JDS, as opposed to using the file browser, then you need to place a suitable command in the configuration for the shell you're using e.g. .profile or .cshrc etc.