How can I set up the same window as on this site about cookies?

<div id="gdpr-cookie-message" style=""><h4>Cookies & Privacy</h4><p>This website uses cookies We use cookies to personalise content and ads, to provide social media features and to analyse our traffic. <a href="" target="_blank"></a></p><div id="gdpr-cookie-types" style="display:none;"><h5>Select cookies to accept</h5><ul><li><input type="checkbox" name="gdpr[]" value="necessary" checked="checked" disabled="disabled"> <label title="These are cookies that are essential for the website to work correctly.">Necessary</label></li></ul></div><p><button id="gdpr-cookie-accept" type="button">Accept Cookies</button><button id="gdpr-cookie-advanced" type="button">Customise Cookies</button></p></div>

You can use the xswatch theme that is included with XOOPS

Or you can take a look how it is done, and then replicate it in your theme.