It's working great for us Dave.
As Dave said, make sure the "mycookies.php" file is in your regular .threads directory, and the "mycookies.lang.php" file is in your "languages/english/" folder.
I actually added a little blurb about it on the logout page, and put the link there. It wouldn't matter where the link is though, as long as you had the URL to the page correct.
