iTunes will by default always give you a purchase confirmation message before you buy anything from the iTunes Store. But this and other confirmation messages can be disabled by checking a checkbox that hides them in the future; if you accidentally turned off messages that confirm any purchases, or someone else who uses your Apple ID did, this tutorial explains how to re-enable them all (these messages from the iTunes Store affect your Apple ID, not just the computer you are currently using - other warning messages are related to iTunes itself, and can be reset on a computer-by-computer basis, by going to Preferences > Advanced > Reset warnings).
Once you are in iTunes, choose "View My Account" from the "Store" menu:
Tip: if you accidentally buy a song or other content from the iTunes Store, the Apple customer service folks are typically very helpful, especially if you only make that kind of mistake on occasions (they probably have a record of percentage of complaints per amount of true purchases, so use their patience judiciously!) Our latest case involved reimbursement of an audiobook which has the same cover and everything, but abridged version was read by the author, but not the unabridged - our purchase of the unabridged got credited, especially since we purchased the abridged version right after that. In our experience, legitimate complaints and requests are handled courteously and fairly.
As mentioned earlier, the warnings above only affect the iTunes Store; to re-enable all warnings and confirmation messages that pertain to iTunes itself, and your computer, go to the "Edit" menu and choose "Preferences" (Windows) or go to the "iTunes" menu and choose "Preferences" (Mac OS X). Under the Advanced tab, click on "Reset warnings", and click "OK" to return to iTunes.