Private Sub BindingNavigatorDeleteItem_Click_1(ByVal sender As System.Object, _
  ByVal e As System.EventArgs) Handles BindingNavigatorDeleteItem.Click
        If (Me.Validate() And (BindingSource2.Count > 0)) Then
            Dim Msg As String
            Msg = "Wollen Sie den Datensatz " & vbCr & "unwiderruflich löschen?"
            If MsgBox(Msg, vbExclamation Or vbYesNo Or vbDefaultButton2, _
              "MeinProgramm") = vbYes Then
                BindingSource2.EndEdit()
                BindingSource2.RemoveCurrent()
                Else
            End If
        End If
    End Sub

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Meine Komponenten sind:
Visual Studio 2008 (Standard) SP 1
Windows 7 SP 1