It's EU legislation, that if you use cookies on your website that you have to advise visitors that you do so.
Over the past 2 years there's been a lot of discussion on how sites should be compliant. Two years ago the legislation was even more ridiculous and nigh on impossible to implement. It changed slightly last year and us now a bit more relaxed than it was originally.
I don't intend going over old stuff, but its been a pita to make sure this sites is compliant, and the original implementation took a fair bit of sorting. However it came to light that the legislation was too ridiculous and many big websites such as the Beeb and even the ICO site responsible for legislation in the uk couldn't even fulfil all requirements. Anyhow about the long and short of it is that you only have to advise visitors the once.... And then (ironically) you can use a cookie to stop a cookie warning coming up on each page!
I did originally have notices on each page that used a cookie (ie the adslchecker), but because things kept changing ive since found it easier to use the cookie script which is in use now.
I'm not on the pc ATM so can't check/remember offhand, but if you look at green box, I think it says whose script I'm using if you wish to use it too. I did quite a bit of investigating last year to find a script that was compliant, and not too much in your face, and it was about the best one I found with free source code.