In accordance with new UE's regulations, an online stores are obligated to inform their Clients about using Cookie files. As always, Magento architects are prepared for such an events in advance.
Magento platform gives a possibility of turning on an information about using the cookie files in our online store. Hence, You should move to the bookmark System-> Configuration -> Web. Here in the menu located on the right side choose bookmark called "Cookie management" (Session cookie management) and then change the Cookie Resctriction Code merit for "YES" and save the changes.