How Should I Dress Up For A Cocktail Party And What Are The Protocols For Such A Party?

Depending on your gender:
Male: The traditional penguin suite. Black trousers and blazer and maybe a colourful shirt, but not too colourful mind you. Maybe checkered patterens are the most "colour" you could get.
Finish the look with a bow tie or a tie. Plain in color, matching the shirt.
Also to look posh, stict a hanckercheif same colour as your tie in the frount pocket in your blazer.

Female: Tie up your hair, or if leaving it down do something with it, e.g. curl it.
Clothes you could wear would be slim and silk. Not really puffy skirts. A good item to wear would be a dress, just above knee length a little below knee length. The sleves shouldn't be long, either off the shoulder, "puff" seleved or halter neck, or strapless.
Wear simple yet expensive looking accesories, to cover your arms wear some 3/4 gloves, matching the dress colour.

Have fun at the party, I hope I've helped =)