There's no direct way to do it, you have to do the math yourself. Here's what I recommend:
1) Get the destination address of the transaction you're interested in.
2) Lookup this address in blockexplorer. If the transaction has already gone through, you should be able to find it in the table for that address. Note the block number that the table shows for the transaction.
3) Goto the front page of blockexplorer, where it lists all recent blocks. Get the last block number, as shown at the top of the table.
4) Subtract the transaction block number from the last block number, then add 1 to the result.
That should roughly give you the number of confirmations for that transaction. (It might be off by one since it may take a minute or so for blockexplorer to show the latest new block.)
An example:
I received 12.7 bitcoins, and want to know how many confirmations that transaction has.
1) I received the bitcoins with address 1blahblahblah, so I copy that address.
2) Searching for that address in blockexplorer shows several transactions. I find the one that gave 12.7 bitcoins to it, and note that it was first confirmed in block 161300.
3) Blockexplorer's front page shows the latest block as being 161448.
4) Subtract 161300 from 161448 to get 148, then add 1 to get 149.
That transaction has at least 149 confirmations.
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