I'm confident the requirements can be covered through modelling.
Basically, checking if a cookie (call it "non_initial_visit") exists, and if not, show a popup (Display Actions/Confirm would probably suffice) that displays the warning and get's the user approval, which is than saved in the previously mentioned cookie.
This is quite similar to the process of saving a user's credentials ("Remember Me"), as modeled in the Authorization new application template.
If you see a specific problem with this procedure, let me know the details.
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