European Union law state you must ask permission for cookies. This plugin handles that for you.
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A skin to this plugin is - in effect - a separate WordPress plugin. The Example included is called 'Cookie-Opt-In - Example skin'.
Examine the plugin file 'wp_cookie_opt_in_skin.php'. Here you see reference to a JS and a CSS file. Also examine these two files. There are 4 PSD files inside the CSS folder to generate new images