You could put this in the sheet's code module.
[VBA]Private Sub Worksheet_Change(ByVal Target As Excel.Range)
With Target
If .Cells.Count = 1 Then
If .Value = vbNullString Then
If MsgBox("Delete OK?", vbOKCancel) = vbCancel Then
Application.Undo
End If
End If
End If
End With
End Sub[/VBA]