Hi Alex,
In theory, if your site is either in the EU or targeted to EU citizens, you have to give the option to user to refuse cookies. However, some cookies (eg session cookies) are exempt of this.
Lot of debate around this issue, as it is not really effective and practically impossible to enforce (especially for sites outside of the EU).
As a UN website, I would imagine you would want to be as compliant as possible, but if your cookies fall into the exemptions (I would imagine you are not using Google cookies for remarketing AdWord campaigns for example) you should be OK.
However, if you do add this to your site, make sure it is a unobtrusive as possible, especially on mobile devices. I have seen sites where the "OK" button is either too small or not even visible on a phone, so unable to visit the site!
All the best!
Alexander Teleki