This can be setup in IIS as CP="CAO DSP IVAa IVDa OUR BUS UNI OTC". Alternatively, I've added the following code to the Page_Load method of the master page.
string p3pHeader = "CP=\"CAO DSP IVAa IVDa OUR BUS UNI OTC\"";
if (!string.IsNullOrEmpty(p3pHeader))
{
//P3P headers will typically be set in IIS. This is more useful when running locally from Visual Studio.
HttpContext.Current.Response.AddHeader("p3p", p3pHeader);
}