The below Microsoft KB has a neat resolution. I recommend the resolution on adding a custom HTTP header.
You can use the IIS Management Snap-In (inetmgr) to add to a static file. Follow these steps to add this header to a static file:
- Click Start, click Run, and then type inetmgr.
- In the left navigation page, click the appropriate file or directory in your Web site to which you want to add the header, right-click the file, and then click Properties.
- Click the HTTP Headers tab.
- In the Custom HTTP Headers group box, click Add.
- Type P3P for the header name, and then for the compact policy string, type CP=..., where "..." is the appropriate code for your compact policy.