Im creating a whole new version of my site http://www.afcommunity.com/Images/Marek/MyAFCommunity.htm and it says that this page has privacy issuses with things trying to set cookies. Someone told me that by writing a privacy policy I can make this go away how would I go about doing this? Is there anyway to get rid of the things setting cookies without writing a privacy policy?

I see nothing about that. I think it might be your privacy settings on your computer. If you use IE (mainly 6+) it will pop those things up. The first time you run Mozilla it will do that too.

Check those out is what I recommend.

Modern browsers use P3P policy mechanism that don't allow setup cookies for your site from domain names that differ your site domain (counters, banners) by default.
If you realy have problems with privacy policy please read http://www.w3.org/P3P/.
In short words your need to add P3P header to your application that want to setup cookie from domain differ your site domain.

Sample of P3P header:
P3P: policyref=/w3c/p3p.xml, CP=NON CUR ADM DEV PSA PSD OUR IND UNI NAV INT STA

I do use IE and have had complaints about this from a person visting the website will these messages only pop up in IE 6+?

Check browser settings and allow cookies.
Also you add in your php or another script headers mentioned by phobos

I dont get how to do this... Can you give me detailed instructions.

The simplest way to avoid blocking cookies, from script that try to setup them from domain that differ your main site domain, is add http header in server response.

Add this strings to begin of your script:
------------------------------------------------
<?php
header("P3P: CP=UNI");
?>
------------------------------------------------

This is must help.

thanks! and I can just add that where ever I want in the script?

I recomend you to add this code at begin of script.
But actually you can place it everywhere in script, but this code MUST be called before script send any output to browser.