The best way is to check it before the game loads, with a java script like this.
function are_cookies_enabled()
{
var cookieEnabled = (navigator.cookieEnabled) ? true : false;
if (typeof navigator.cookieEnabled == "undefined" && !cookieEnabled)
{
document.cookie="testcookie";
cookieEnabled = (document.cookie.indexOf("testcookie") != -1) ? true : false;
}
return (cookieEnabled);
}
If you want the game to know if cookies are enabled, you can call this function trough AJAX and handle teh response.