You can enable a cookie banner for your website at Settings → General settings → Cookie banner.
The banner will look like this:
Alternatively, you can use this (or any other) third-party cookie consent tool and customize your cookie banner yourself. Once done in the third-party tool, you'll be given a code to integrate the widget on your website. Paste that code to your website at Settings → Integrations → Connect your website with many other tools or services as described here.
This banner will look like this: