Aqui está sua macro VBA:
Private Sub Application_ItemSend(ByVal Item As Object, Cancel As Boolean)
If MsgBox("Do you want to continue sending the mail?", vbOKCancel) <> vbOK Then
Cancel = True
End If
End Sub
Basta pressionar ALT + F11 no Outlook, copiar e colar a macro no objeto ThisOutlookSession e salvá-lo.