Well, what exactly do you think that you should cover or notify your users of? 

I don't know.  This is the first website I've done for a business and I wonder if there is some legal stuff that should be on the website (maybe even required by law?).  We would ask our lawyer, but he only deals with a certain type of case, far from anything having to do with websites.  We did ask another lawyer, who is just a friend of a fellow employee, and he said to ask Lunar Pages.  So, here I am.

Yes, depending on your type of web site and business, a privacy policy might be a good thing to have, if for no other reason to cover yourself, just in case something bad may happen.  For example, a few weeks back Google AdSense started to require web sites to have a privacy policy of some sort.  So if you display AdSense ads on your web site - that would be another good reason to have a privacy policy.

Well, there is no "one size fits all" legal page. It all depends on what products, services, or information you're providing to visitors. If you collect any  sort of private information (names and addresses, email addresses, credit card numbers, etc.) you'll need some policy about protecting that information, and that should be reflected in the "legal" or "privacy" page. Beyond that, if you sell physical or virtual products, you'll need some kind of warranty or guarantee information, or at least a disclaimer that you are not responsible for whatever happens. Same thing for services provided over the site -- of course you have "errors and omissions" insurance. I wouldn't even say  that you have insurance (just invites nuisance lawsuits), except where you are required by law to carry insurance, bonding, or the like. You might want to say something about your intellectual property -- copyrights, trademarks, patents, and such, and what rights you give to the purchaser under license (typically, that you retain ownership, but are licensing the customer to use  your product). If you have a discussion board or blog, you need something stating who is responsible for what's posted (libelous or threatening content), whether the site reserves the right to edit or remove posts (which may be seen as taking responsibility for posted material!), and general rules of conduct.

IANAL, but I hope that will get you started. I may have missed something, but you need to read a lot of "legal", "privacy", "warranty", "forum rules", etc. pages and knock together something comprehensive and suited for your business. If you collect personal information, various laws may prescribe that you do certain things (SSL, encryption, etc.), as may financial services that provide you with things like a merchant account or credit card gateway. When you get it all together, run it by your lawyer. If he's not comfortable passing judgment on it, he should be able to recommend someone else who specializes in such things. Your insurance agent may also have things to say about it (for a lot less cost!), so you may want to run it by him first.

Might also look at what other people in your area of business are doing.  Not saying you should copy them word for word, but might get an idea of what you should and should not have covered.

Interesting. What are these blockers looking for in a site? A page by a specific name and with specific content (format)? An XML file? Is there some sort of public document describing this (something like a Google sitemap)? Is this Privacy Policy a W3C mandate, or something that some adware site cooked up?

I wonder what information this PPG mentioned above is collecting on its  users...

I believe some applications look for a P3P, "machine readable" file, which is, I think, and xml file.- http://www.w3.org/P3P/ 
If you look around, there are a couple of free p3p generators- IBM has a java based one which I have, though I havn't done anything with it yet.