It's saying that $HTTP_COOKIE_VARS['cookie_session'] doesn't have a value. It needs to be set to some value (i.e., with setcookie() and then going to another page) before you can safely use it. (Okay, you can fiddle with the error reporting level to turn off the notice, but it's turned on by default for a reason.)
If you're using it on a page where it may or may not have a value (which is any page where it's used, really, because the client might not do cookies), you should first check to see if it has a value using isset($HTTP_COOKIE_VARS['cookie_session']), and only use it if that test returns true.
See also the [man]setcookie[/man] manual entry.