DTM does not have any native tools to handle GDPR consent. The EU consent option in DTM was put in place before GDPR was announced or passed.
In order to implement a third-party cookie consent tool within DTM, you'll need to use the custom code section in one of your rules or tools. The third-party should have provided you with a HTML or Script tag that you need to place on your site. Depending on what they provided, you'll use the non-sequential, sequential Javascript, or sequential HTML section to paste your code.
With that said, Adobe does have consent options built into Launch by way of third party extensions. You can learn more by reading the following blog or by browsing the Launch, by Adobe community.