If you have any form of analytics, collect page stats, embedded YouTube videos, Social networking 'like' buttons or advertising then yes you are probably issuing cookies to people.
Sadly there are limits to how much EWP can do for you. A fancy pop-up, sliding or disappearing warning is going to requre javascript to be inserted directly into the source code of all pages by hand. The only alternative is to put a simple text warning on all your pages where it can be clearly seen above the page fold that links to your privacy policy/ cookie useage page that explains why you use them and that it's the visitors responsibility to accept or decline them by configuring their own web browser privacy settings accordingly.
Post up a link to your site and I'll come take a look if you're not sure about the cookies.
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