European Union law requires websites which use cookies to display a privacy notice. WSN's "EU cookie privacy notice" switch at Admin -> Settings -> Switches makes this easy for you.

When this switch is enabled, a semi-transparent bar will display at the bottom of non-admin pages. By default it will show the text "This website uses cookies to enhance your experience. Read our <a href="index.php?action=privacy">privacy policy</a> for details." On a multilingual site, you can edit this language by going to Admin -> Customizations -> Languages and searching for general_cookienotice. On an English-only site, you can edit the language at Admin -> Themes -> Manage Templates -> Wrapper -> ctrl+f to find "This website uses cookies" which will be at the bottom of the template.

The privacy policy page which that text links to is the template Admin -> Themes -> Manage Templates -> "Privacy Policy". English-only users can edit the text in the templates, multilingual users can edit it at Admin -> Customizations -> Language -> search for "privacy_info". The default content should be sufficient for EU law.

The HTML (from the wrapper template) is
<div id="cookienotice" class="cookienotice">
{LANG_GENERAL_COOKIENOTICE} <a id="dismisscookienotice" class="dismisscookienotice">X</a>
</div>
so if you want to change the apperance you can use the css class .cookienotice.