In application\config\cms_config.php add:

$config['cookie_warning_enabled'] = TRUE;

Cookie warning message can be customized in file:

templates\bootstrap2-responsive\assets\js\cookiewarning4.js

For change message, open translate file, and find line with:

$lang['Accept cookiebar']

file: templates\{your-template-name}\language\{your-language}\frontend_template_lang.php