Its very important to have a cookie policy widget to your blog. The EU must implement the EU Cookie Directive. Under this law, websites are required to get visitors informed consent before placing a cookie on their machine.If your site uses any third party cookies, Google Analytics, Facebook ‘Like’ buttons, Social plugins, ‘Add This’ social sharing buttons, or any other non essential cookies, you will need to add an cookie opt in interface to your site.you can read all about it here.
How to do this.
Step 1
1.Go to your dashboard and click on design.
2. Select pages and then blank page.Once the blank page opens you will need to write a privacy policy.There are many templates available on the internet, you can use any of them and you can add the text and customise it to fit with your blog .. You can check out this sample.

Step 2- There are many cookie policy widgets on the internet, one I find easy to install is by heartinternet.co.uk
4. Go to layout and select add a gadget .

5.In gadgets,select HTML /Java script and a pop up widget box will open.(Configure HTML/javascript)
Add this code in the HTML/Java script widget box
<link rel="stylesheet" type="text/css" href="http://www.heartinternet.co.uk/eu-cookie/main.css"/>
<link rel="stylesheet" type="text/css" href="http://www.heartinternet.co.uk/eu-cookie/white.css"/>
<script type="text/javascript" src="http://www.heartinternet.co.uk/eu-cookie/support-opt-in.js"></script>
<script type="text/javascript" src="http://www.heartinternet.co.uk/eu-cookie/require-opt-in.js" read_more="http://YOUR_DOMAIN.COM/PAGE_URL.html"></script>
<script type='text/javascript'> HI.optInCookies.disagreeURL = "/PAGE_URL.html"; </script>
<style>.hi-cookie-power {visibility:hidden;}
</style>
6. In the code replace the red text with url of your privacy policy page that you created in step 1
7. Save the gadget and position the gadget at the footer of your blog.
If you have followed the instructions properly you will see this on your homepage.
NB- For word press blogs check this page.