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Please copy "vendor/magento/module-checkout/view/frontend/templates/cart/form.phtml" file in your theme directory and add below code at last.

<script>
require(['jquery', 'jquery/ui'], function($){ 
        jQuery('.action-delete').click(function(e)
    {
        if(confirm('Do you want to remove this product?'))
        {
            return true;
        }
        else
        {
            return false; 
        }
        
    });
 });
</script>