You can ignore the cookie notice, it's there because it is required by EU law, you'll notice them on a lot of UK sites now. Clicking on it will set a cookie to stop notifying you that the site uses cookies, completely legit.
If there's an issue staying logged in, try deleting your cookies and then logging in again using the form at the bottom of the forum home page. Sometimes cookies can become corrupted and then logins just don't work quite right.
Let me know if that helps.