A standard way of checking for cookie support is via a redirect.
For reasons I'll explain below, I think it's best to do a cookie check only when the user initiates an action that would require a cookie such as attempting to log in, or adding something to their cart.
First, the server checks the login data as normal - ie if the login data is wrong the user receives that feedback as normal. It immediately responds with a cookie, and a redirect to a page which is designed to check for cookie preferences - which may just be the same URL but with some flag added to the query string. This next page will then check to see if the client sent any cookie. If not, then the user receives a message stating that a cookie was not received and they should probably try to enable cookies if they want to log in.
Now for why I only do a cookie test after a user-initiated action other than simply loading a page. I have seen sites implement a cookie test on every single page, not realising that this is going to have effects on things like search engines trying to crawl the site. That is, if a user has cookies enabled, then the test cookie is set once, so they only have to endure a redirect on the first page they request and from then on there are no redirects. However, for any browser or other user-agent, like a search engine, that doesn't return cookies, every single page could have a redirect. While it'll still work and a lot of the time users won't see any difference, it is a lot more overhead and load than necessary.
Another method of checking for cookie support is with Javascript - this way, no redirect is necessarily needed - you can write a cookie and read it back virtually immediately to see if it was stored and then retrieved. The downside to this is it runs in script - ie if you still want the message about whether cookies are supported to get back to the server, then you still have to organise that - such as with an Ajax call.
For my own application, I implement some protection for 'Login CSRF' attacks, a variant of CSRF attacks, by setting a cookie containing a random token on the login screen before the user logs in, and checking that token when the user submits their login details. Read more about Login CSRF from Google. A side effect of this is that the moment they do log in, I can check for the existence of that cookie - an extra redirect is not necessary.