Hi Marc,

The Next, Cancel, Previous and Finish buttons in RadWizards are simple HTML elements, not server-side controls, so you can assign only client-side logic to them.

In order to do so you can access the their elements in the OnClientLoad or handle the buttons OnclientClicking. You can find useful discussion along with samples on this matter here:
https://www.telerik.com/forums/show-confirmation-window-on-cancel

Regards,
Vessy
Progress Telerik