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Here is one way.

Add this to your code:

    var polygonLayer = new OpenLayers.Layer.Vector("Polygon Layer");

    polygonLayer.events.on({
        featuresadded: function (event) {
            var confirmPolygon = function () { return confirm("Do you want to keep this polygon?") };

            if (!confirmPolygon()) {
                polygonLayer.removeFeatures(event.features);
            }

        }
    });

I'll post an update for the radio button comment/suggestion.