Adding Leaving Notice Message to external link

I’m trying to do something like this, but on a specific link on the main menu.

Where do I type the message, in the PHP?

Would I use this or the other PHP mentioned?

function add_custom_script(){
?>
<script>
jQuery(window).load(function(){
	jQuery('a.external-link, .external-link a').click(function() {
		alert("You're going to a better place.");
	});
});
</script>
<?php
}
add_action('wp_head', 'add_custom_script');

And also adding external-link/strong> to CSS Classes (optional)?

I was able to add this message, but how do I add a ‘Cancel’ button to this if someone accidentally clicks it?

Sorry for replying so late. That kind of worked. It has the ‘cancel’ and ‘ok’ buttons on the message, but if you click cancel, it still takes you to another page, you don’t stay on the site.

Click ‘Shop’ in the main navigation and once that notice comes up, click ‘Cancel’. It just continues to the other page anyway. It doesn’t cancel going to that link.

So instead of

function add_custom_script(){
?>
<script>
jQuery(window).load(function(){
	jQuery('.external-link a').click(function() {
		confirm("You're going to a better place.");
	});
});
</script>
<?php
}
add_action('wp_head', 'add_custom_script');

it would be

function add_custom_script(){
?>
<script>
(function($){
	$('.external-link a').on('click', function () {
		return confirm('Are you sure?');
	});
})(jQuery);
</script>
<?php
}
add_action('wp_footer', 'add_custom_script');

Is that right or am I adding that in addition?

This worked, thank you!

You can close it. Thanks!