There is a problem with the european cookie law: The european law demands that users have to agree before tracking begins (opt-in).
This plugin doesn't prevent cookies of the first visit. You can prove this with a site which uses Piwik. Install the Add-on "Ghostery" and you'll see that cookies are set before clicking on the "I agree" button or on the "I disagree" link. You may take a look into the adjustments of Firefox too. There you'll also find the cookies. They will still be there although you clicked on the "I disagree" link.