You could use set_intersection and test if the resulting set is empty, but I don't know if that's much faster. 
The optimal implementation would stop the testing and return false as soon as the first equal element is found. I don't know of any ready-made solution for that, though
template<class Set1, class Set2> 
bool is_disjoint(const Set1 &set1, const Set2 &set2)
{
    Set1::const_iterator it, itEnd = set1.end();
    for (it = set1.begin(); it != itEnd; ++it)
        if (set2.count(*it))
            return false;
    return true;
}
isn't too complex and should do the job nicely.
EDIT: If you want O(n) performance, use the slightly less compact
template<class Set1, class Set2> 
bool is_disjoint(const Set1 &set1, const Set2 &set2)
{
    Set1::const_iterator it1 = set1.begin(), it1End = set1.end();
    if (it1 == it1End)
        return true; // first set empty => sets are disjoint
    Set2::const_iterator it2 = set2.begin(), it2End = set2.end();
    if (it2 == it2End)
        return true; // second set empty => sets are disjoint
    // first optimization: check if sets overlap (with O(1) complexity)
    Set1::const_iterator it1Last = it1End;
    if (*--it1Last < *it2)
        return true; // all elements in set1 < all elements in set2
    Set2::const_iterator it2Last = it2End;
    if (*--it2Last < *it1)
        return true; // all elements in set2 < all elements in set1
    // second optimization: begin scanning at the intersection point of the sets    
    it1 = set1.lower_bound(*it2);
    if (it1 == it1End)
        return true;
    it2 = set2.lower_bound(*it1);
    if (it2 == it2End)
        return true;
    // scan the (remaining part of the) sets (with O(n) complexity) 
    for(;;)
    {
        if (*it1 < *it2)
        {
            if (++it1 == it1End)
                return true;
        } 
        else if (*it2 < *it1)
        {
            if (++it2 == it2End)
                return true;
        }
        else
            return false;
    }
}
(modified Graphics Noob's modification further, using only operator <)