Create a Warning message box in APM policy before Logon Page

...or if you wanted to do it directly on the login page with some js you could add something like this at the bottom of login.inc in the advance customisation of the login page

<script type="text/javascript">

alert("IT IS AN OFFENCE TO CONTINUE WITHOUT PROPER AUTHORISATION.\n\nThis system is restricted to authorised users. Individuals who attempt unauthorised access will be prosecuted.\n\nIf you are unauthorised, terminate access now. Click OK to indicate your acceptance of this information.");

</script>

</body>

</html>