Hello

Have you considered using a cookie warning extension, most of which allow you to add a warning in the header regardless if a position exists there or not (http://extensions.joomla.org/extensions/site-management/cookie-control)?

Another option is to create a new module position in the header of your template as detailed in the following tutorial.. http://www.joomla51.com/tutorials/item/creating-a-new-module-position-in-the-header-area-of-your-template

Ciarán