I have made something that might be useable. It is not completed but I would like some feedback, if this is the right direction. What I did was to take my extension slidingpanel and adapt it for this purpose. The docs are not updated yet. But what it does is this: In the admin panel you should enter a text-message (e.g. "This website uses cookies") and a text for the confirmation button (e.g. "OK, accepted").
Then call the extension somewhere on the page. When the page is loaded the panel will appear with the message. If the user presses the confirmation button, a cookie is set and the panel will not appear in the future.
http://home.salldata.dk/test/cookiecontrol.zip