One way of doing this is by incorporating a cookie control script. This places a widget on your website which will inform visitors of everything they need to know about cookies. It will also ensure that both you and your website are complying with UK and EU legislation.
For information and step-by-step instructions on inserting a cookie control script, you can watch this video
To find out what cookies are generated by sites created in WebPlus, see this related KB article
or, if you want to learn more about cookies, click here