As I understand it, the law only applies to
  Tracking Cookies.
Session Cookies are outside the legislation.
Again, AFAIK, if you don't have links to the vast number of tracking 
sites on your website then you don't have anything to worry about.
There are sites that go bonkers with these embedded links. The hightest 
number I have counted for one site is 34 different tracking sites 
embedded on one front page.
Obviously if you are generating revenue with hits etc then you have to 
do some work on your site.
I could be wrong but I did some research when the legislation was first 
announced.
Stephen D
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