As I couldn't get the syntax right for vQmod I will post it here instead:
First off go to http://silktide.com/cookieconsent/code and follow the simple setup (choosing which cookies you use, where you want the banner and privacy tag, loads - have a look!
When you have set it how you would like (you can always change it later, to suit your needs) copy the code in Step 4 and then find your catalog/view/theme/*/template/common/header.tpl file and open it in notepad++ (Take a backup at this point if you are concerned...)
Find </head> and insert the code copied in Step 4 on a new line BEFORE it. Save and upload - go back to your site and clear cache and temp files and you should now have a nice cookie control module, Open Source and completely FREE

You can also find instructions on styling it yourself and hosting the required .js should you want to change it.
Cheers,
Stokey