We're often asked the easiest and quickest way to abide by the EU Cookie Legislation. You can find out more by reading here: http://en.wikipedia.org/wiki/Directive_on_Privacy_and_Electronic_Communications.
In short, you do need to let users know if your website is recording certain pieces of information - an example of this would be Google Analytics that tracks a users behaviour while viewing your website so you can use this to improve your site or just to see who's been visiting. The easiest way we've found to abide by the rules is to add a dismissible alert to new users - to add a notice you can use the widget creator here: http://cookieassistant.com. We're not affiliated with 'Cookie Assistant' but it seems to deliver a clean, simple experience and we've had no issues. The cookie assistant will generate a code snippet that you then just need to paste into your "Google Analytics" section in smartOptions. Any questions, just shout!