With a quick search was able to find the following information regarding the "E.U. Cookie Directive".
www.seoptimise.com/blog/2012/03/eu-cookie-directive-what-why-who-when-and-how.html
All you need to do is add a segment to your Terms and Conditions (Terms and Conditions must be accepted to register, so it counts as "opt in") stating what cookies are being used for (login session tracking) and you're fine. Joomla just uses a cookie to link a session ID and a user. It stores everything to a database driven session rather then a cookie.
There are also several posts on Joomla forums regarding this with dozens of solutions available.
forum.joomla.org/viewtopic.php?f=615&p=2800403
forum.joomla.org/viewtopic.php?t=621362
extensions.joomla.org/extensions/site-management/cookie-control
It's safe to assume this law won't be enforced and likely won't last long. Many EU politician websites as well as EU government website aren't even complying with the new law. It's also completely unenforceable for websites outside of EU (host your site in the US for example) regardless of how they word the law they've no jurisdiction outside their own country to enforce this (no judge will hear it and it'd be thrown out). As I am in the US there's nothing I can do regarding this, but I urge all EU citizens to fight such a law.