I use them on a grip of my adult sites. They're easy to make, just a simple page in your root folder with a message saying you're gonna see porn if you click "enter". If your home page for your site is in the root folder and is a php page then make your warning page "index.html". Or you can use a modal popup. All kinds of ways to make one. I personally use warning pages mostly to trigger pop-unders when someone clicks enter. Some people say their bad for bounce rate or whatever other reason. I say it's all about what works for you and there is probably no need for you to worry about it right now.
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