Dreamweaver Cookie Panel

Nancy's reply of cookiebot is a good recommendation. Typically these are in place for compliance reasons (ie: GDPR) and let users who what cookies allow to interact with certain parts of your site.  Cookiebot's basically plan will give you that basic functionality and Hubspot also gives this with all of their plans.  However, depending on the complexity of what you need or how you want to allow users to accept/reject types of cookies you may need something more robust like Cookiebot's other half, UserCentrics or OneTrust.

Open your Snippets Panel. 

Scroll down to JavaScript where you will find the basic code to Get And Set a Cookie.

However a Cookie Policy Statement is something quite different.  Consult your attorney for the exact wording you should use.  There are 3rd party widgets to help you create a cookie warning notice like this one.

https://www.cookiebot.com/en/cookie-policy/

Hope that helps.

Explain?

Do you want a small panel to pop up at the bottom of the browser window on page load alerting users that the website uses cookies - accept/decline  - or do you want DW to generate the whole workflow of setting the cookies as well?

If its the small panel you want to pop up on page load then you will have to manually code that. I dont know about setting the cookies as I havent used DW in a while, so completely forget what it is capable of.