There is nothing built in that does this. You can build your own scheme though.
The general approach is to issue a cookie to the browser and redirect them
to a page with a QueryString like "TestingCookies=1". If in your page you
see the query string and there is no cookie, then you know they've disabled
cookies.
This is built into ASP.NET 2.0 when using Forms Authentication and Session
State (if properly configured).